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Journal of Property Research Volume 9, 1992 - Issue 1
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The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered

Bryan D. MacGregor MacRobert Professor of Land Economy
&
Nanda Nanthakumaran Lecturer and Hillier Parker Fellow, Department of Land Economy, St. Mary's, King's College, University of Aberdeen, Aberdeen, AB9 2UF, UK
Pages 5-32 | Received 01 Jul 1991, Published online: 27 Apr 2007

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Colin Jones, Neil Dunse, Nicola Livingstone & Kevin Cutsforth. (2017) The restructuring of the institutional real estate portfolio in the UK. Journal of Property Research 34:2, pages 129-146.
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Eddie Chi Man Hui & CarisaK.W. Yu. (2010) Enhanced portfolio optimisation model for real estate investment in HK. Journal of Property Research 27:2, pages 147-180.
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Lay Lim, Stanley McGreal & James Webb. (2008) Institutional Benchmarks for International Real Estate Investment. Journal of Real Estate Portfolio Management 14:2, pages 93-104.
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Joaquim Montezuma & Kenneth Gibb. (2006) Residential Property as an Institutional Asset: The Swiss and Dutch Cases. Journal of Property Research 23:4, pages 323-345.
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Alastair Adair, Stanley McGreal & James Webb. (2006) Diversification Effects of Direct versus Indirect Real Estate Investments in the U.K.. Journal of Real Estate Portfolio Management 12:2, pages 85-90.
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Alexandra Krystalogianni & Sotiris Tsolacos. (2004) Regime switching in yield structures and real estate investment. Journal of Property Research 21:4, pages 279-299.
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Stanley McGreal, Alastair Adair, James Berry & James Webb. (2004) Institutional Real Estate Investment in Ireland and Great Britain: Returns, Risks and Opportunities. Journal of Real Estate Portfolio Management 10:2, pages 85-96.
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Danny Ben-Shahar. (2003) A Performance Comparison between Dwellings and Financial Assets in Israel. Journal of Real Estate Literature 11:2, pages 177-194.
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Kwame National, Ser Wee & Shahid Ebrahim. (2002) Real Estate Portfolio Diversification by Sources of Return. Journal of Real Estate Portfolio Management 8:1, pages 1-15.
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Simon Stevenson. (2000) International Real Estate Diversification: Empirical Tests using Hedged Indices. Journal of Real Estate Research 19:1, pages 105-132.
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Simon Stevenson & Louis Murray. (1999) An Examination of the Inflation Hedging Ability of Irish Real Estate. Journal of Real Estate Portfolio Management 5:1, pages 59-69.
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Michael Giliberto, Foort Hamelink, Martin Hoesli & Bryan MacGregor. (1999) Optimal Diversification within Mixed-Asset Portfolios using a Conditional Heteroskedasticity Approach: Evidence from the U.S. and the U.K.. Journal of Real Estate Portfolio Management 5:1, pages 31-45.
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Peter Byrne & Stephen Lee. (1997) Real Estate Portfolio Analysis under Conditions of Non-Normality: The Case of NCREIF. Journal of Real Estate Portfolio Management 3:1, pages 37-46.
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Y. Chiang & S. Ganesan. (1996) Property Investment in Hong Kong. Journal of Real Estate Portfolio Management 2:2, pages 141-158.
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Gerald Brown & Edward Schuck. (1996) Optimal Portfolio Allocations to Real Estate. Journal of Real Estate Portfolio Management 2:2, pages 63-73.
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Graeme Newell & John MacFarlane. (1995) Improved Rish Estimation Using Appraisal Smoothed Real Estate Returns. Journal of Real Estate Portfolio Management 1:1, pages 51-57.
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Richard Heaney & Sivagowry Sriananthakumar. (2012) Time-varying correlation between stock market returns and real estate returns. Journal of Empirical Finance 19:4, pages 583-594.
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Rafal Wolski & Magdalena Zaleczna. (2011) The real estate investment of insurance companies in Poland. Journal of Property Investment & Finance 29:1, pages 74-82.
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Neil Dunse, Colin Jones & Michael White. (2010) Valuation accuracy and spatial variations in the efficiency of the property market. Journal of European Real Estate Research 3:1, pages 24-45.
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Richard J. MacCowan & Allison M. Orr. (2008) A behavioural study of the decision processes underpinning disposals by property fund managers. Journal of Property Investment & Finance 26:4, pages 342-361.
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Joaquim Montezuma. (2004) Housing investment in an institutional portfolio context. Property Management 22:3, pages 230-249.
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Simon Stevenson. (2004) Testing the statistical significance of real estate in an international mixed asset portfolio. Journal of Property Investment & Finance 22:1, pages 11-24.
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David GeltnerBryan D. MacGregorGregory M. Schwann. (2016) Appraisal Smoothing and Price Discovery in Real Estate Markets. Urban Studies 40:5-6, pages 1047-1064.
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Chris LeishmanChris Leishman. 2003. Real Estate Market Research and Analysis. Real Estate Market Research and Analysis 97 113 .
W.D. Fraser, C. Leishman & H. Tarbert. (2002) The long‐run diversification attributes of commercial property. Journal of Property Investment & Finance 20:4, pages 354-373.
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Seow-Eng OngTien-Foo Sing. (2016) Price Discovery between Private and Public Housing Markets. Urban Studies 39:1, pages 57-67.
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Nick French. (2001) Decision theory and real estate investment: an analysis of the decision-making processes of real estate investment fund managers. Managerial and Decision Economics 22:7, pages 399-410.
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David Higgins, Jacob Oluwoye & Dennis Lenard. (2000) Influences on Australian organisations’ new space demands. Journal of Corporate Real Estate 2:4, pages 304-314.
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Simon Stevenson. (2000) Constraining optimal portfolios and the effect on real estate’s allocation. Journal of Property Investment & Finance 18:4, pages 488-506.
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Simon Stevenson. (1999) The performance and inflation hedging ability of regional housing markets. Journal of Property Investment & Finance 17:3, pages 239-260.
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Colin Lizieri, Bryan MacGregor & Michael Ball. 1998. The Economics of Commercial Property Markets. The Economics of Commercial Property Markets.
Martin Hoesli & Foort Hamelink. (1997) An examination of the role of Geneva and Zurich housing in Swiss institutional portfolios. Journal of Property Valuation and Investment 15:4, pages 354-371.
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Simon A.W. Stevenson. (1997) Irish commercial property as a portfolio asset: its contribution to risk reduction. Journal of Property Valuation and Investment 15:4, pages 336-353.
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Nick French & Simon French. (1997) Decision theory and real estate investment. Journal of Property Valuation and Investment 15:3, pages 226-232.
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Martin Hoesli & Foort Hamelink. (1996) EUROPEAN PAPER: Diversification of Swiss portfolios with real estate, Results based on a hedonic index. Journal of Property Valuation and Investment 14:5, pages 59-75.
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Philip Booth & George Matysiak. (1996) Commercial property investment and the Pensions Act 1995. Journal of Property Finance 7:3, pages 23-37.
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Andrew Baum, Neil Crosby & Bryan MacGregor. (1996) Price formation, mispricing and investment analysis in the property market. Journal of Property Valuation and Investment 14:1, pages 36-49.
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Foort Hamelink & Martin Hoesli. (1996) Swiss real estate as a hedge against inflation. Journal of Property Finance 7:1, pages 33-49.
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Graeme Newell. (1996) The inflation‐hedging characteristics of Australian commercial property: 1984‐1995. Journal of Property Finance 7:1, pages 6-20.
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Peter Byrne & Stephen Lee. (1995) Is there a place for property in the multi‐asset portfolio?. Journal of Property Finance 6:3, pages 60-83.
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Piet M.A. Eichholtz, Martin Hoesli, Bryan D. MacGregor & Nanda Nanthakumaran. (1995) Real estate portfolio diversification by property type and region. Journal of Property Finance 6:3, pages 39-59.
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Colin Lizieri & Louise Finlay. (1995) International property portfolio strategies. Journal of Property Valuation and Investment 13:1, pages 6-21.
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A.S. Adair, J.N. Berry & W.S. McGreal. (1994) Investment Decision Making: A Behavioural Perspective. Journal of Property Finance 5:4, pages 32-32.
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Peter Byrne & Stephen Lee. (1994) Real Estate Portfolio Analysis Using a Spreadsheet Optimizer. Journal of Property Finance 5:4, pages 19-31.
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Martin Brühl & Colin Lizieri. (1994) Centralism vs Federalism. Journal of Property Valuation and Investment 12:1, pages 59-73.
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Peter Byrne & Stephen Lee. (1994) Computing Markowitz Efficient Frontiers Using a Spreadsheet Optimizer. Journal of Property Finance 5:1, pages 58-66.
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Spencer Couts. (2019) Stale Prices, Fragility, and Detrimental Cash: Evidence from Private Real Estate Funds. SSRN Electronic Journal.
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