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Abstract
Executive Summary.This study uses annual data from 1975 through 2003 to construct mean-variance optimal portfolios for the United Kingdom. Real estate return data for all U.K properties from the Investment Property Databank (IPD), for U.K. pooled property funds, and for U.K. property shares are used, in addition to U.K. common stocks (equities) and gilts (government bonds). The different mixed-asset portfolio allocations using the different real estate return series are compared/contrasted. Finally, the return series are unbundled for U.K. IPD real estate, U.K. common stocks, and U.K. gilts into income and appreciation returns and additional optimal mean-variance portfolios, which are constructed for income returns, appreciation returns, and total returns (income and appreciation returns).