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Article

After the Fall: Real Estate in the Mixed-Asset Portfolio
in the Aftermath of the Global Financial Crisis

Colin Lizieri
The Journal of Portfolio Management Special Real Estate Issue 2013, 39 (5) 43-59; DOI: https://doi.org/10.3905/jpm.2013.39.5.043
Colin Lizieri
is Grosvenor Professor of Real Estate Finance in the Department of Land Economy at the University of Cambridge in Cambridge, UK.
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  • For correspondence: cml49@cam.ac.uk
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Abstract

The global financial crisis led some investors to question the benefits of real estate as a risk diversifier in mixed asset portfolios as falling real estate capital values coincided with the bear market in equities: private real estate appeared not to deliver diversification when it was most needed. An analysis of UK private real estate returns, corrected for appraisal effects using a regime-based filtering process confirms that the relationship between real estate and other financial assets is time-varying: but suggests that there remain strong benefits from including commercial real estate in the mixed asset portfolio.

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The Journal of Portfolio Management: 39 (5)
The Journal of Portfolio Management
Vol. 39, Issue 5
Special Real Estate Issue 2013
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After the Fall: Real Estate in the Mixed-Asset Portfolio
in the Aftermath of the Global Financial Crisis
Colin Lizieri
The Journal of Portfolio Management Sep 2013, 39 (5) 43-59; DOI: 10.3905/jpm.2013.39.5.043

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After the Fall: Real Estate in the Mixed-Asset Portfolio
in the Aftermath of the Global Financial Crisis
Colin Lizieri
The Journal of Portfolio Management Sep 2013, 39 (5) 43-59; DOI: 10.3905/jpm.2013.39.5.043
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  • Article
    • Abstract
    • PRIVATE REAL ESTATE IN THE MIXED-ASSET PORTFOLIO
    • DATA EMPLOYED IN THE STUDY
    • ANALYTIC METHODS
    • EMPIRICAL RESULTS: 1990–2011
    • CONCLUSION
    • ENDNOTES
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