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- W2347396401 abstract "Modern Portfolio Theory is a single-period model developed for the efficient securities market, in which asset prices are implicitly assumed to follow a random walk. It is widely agreed that real estate does not fit into the efficient market paradigm; however, mixed-asset portfolio analysis continues to rely on Modern Portfolio Theory. This paper proposes an alternative model that extends the Modern Portfolio Theory to accommodate multi-period utility maximization as well as the unique characteristics of real estate such as liquidity risk, horizon-dependence of real estate returns and high transaction cost. The model is easy to be implemented. Using real world data, it demonstrates the optimal allocation to real estate in the mixed-asset portfolio is quite in line with the reality of institutional portfolios." @default.
- W2347396401 created "2016-06-24" @default.
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- W2347396401 date "2017-03-03" @default.
- W2347396401 modified "2023-09-23" @default.
- W2347396401 title "Optimal Portfolio Selection: The Role of Illiquidity and Investment Horizon" @default.
- W2347396401 hasPublicationYear "2017" @default.
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