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Journal of Real Estate Portfolio Management Volume 5, 1999 - Issue 1
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Research Articles

Optimal Diversification within Mixed-Asset Portfolios using a Conditional Heteroskedasticity Approach: Evidence from the U.S. and the U.K.

Michael GilibertoJ. P. Morgan Investment Management, New York, NY
,
Foort HamelinkTilburg University, Department of Finance, The Netherlands and Institut Universitaire de Hautes Etudes Internationales (HEI), Geneva, Switzerland
,
Martin HoesliUniversity of Geneva, CH-1211 Geneva 4, Switzerland and University of Aberdeen, Department of Accountancy, Scotland, U.K
&
Bryan MacGregor University of Aberdeen, Center for Property Research, St Mary's, King's College, Scotland, UK
Pages 31-45 | Published online: 18 Jun 2020

Citations (11)

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Read on this site (5)

Kevin Chiang & Ming-Long National. (2007) Spanning Tests on Public and Private Real Estate. Journal of Real Estate Portfolio Management 13:1, pages 7-15.
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Doug Waggle & Pankaj Agrrawal. (2006) The Stock-REIT Relationship and Optimal Asset Allocations. Journal of Real Estate Portfolio Management 12:3, pages 209-221.
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Cath Jackson & Michael White. (2005) Challenging Traditional Real Estate Market Classifications for Investment Diversification. Journal of Real Estate Portfolio Management 11:3, pages 307-321.
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Mueller Andrew & Mueller Glenn. (2003) Public and Private Real Estate in a Mixed-Asset Portfolio. Journal of Real Estate Portfolio Management 9:3, pages 193-203.
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Foort Hamelink. (2001) Nonlinear analysis for forecasting currencies: are they useful to the portfolio manager?. The European Journal of Finance 7:4, pages 335-355.
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Articles from other publishers (6)

Liang Peng & Rainer Schulz. (2012) Does the Diversification Potential of Securitized Real Estate Vary Over Time and Should Investors Care?. The Journal of Real Estate Finance and Economics 47:2, pages 310-340.
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Timothy W. Viezer. 2010. Handbook of Portfolio Construction. Handbook of Portfolio Construction 733 760 .
Shaun A. Bond, Soosung Hwang, Paul Mitchell & Stephen E. Satchell. (2007) Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios?. The Journal of Portfolio Management 33:5, pages 74-84.
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Shaun A. Bond & Soosung Hwang. (2003) A Measure of Fundamental Volatility in the Commercial Property Market. Real Estate Economics 31:4, pages 577-600.
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Andrew C. Worthington & Helen Higgs. (2003) Comovements in UK regional property markets: a multivariate cointegration analysis. Journal of Property Investment & Finance 21:4, pages 326-347.
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Elaine WorzalaC.F. Sirmans. (2016) Investing in International Real Estate Stocks: A Review of the Literature. Urban Studies 40:5-6, pages 1115-1149.
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