TY - JOUR T1 - Real Estate Investment Trusts JF - The Journal of Portfolio Management SP - 46 LP - 54 DO - 10.3905/jpm.2005.593887 VL - 31 IS - 5 AU - Hsuan-Chi Chen AU - Keng-Yu Ho AU - Chiuling Lu AU - Cheng-Huan Wu Y1 - 2005/09/30 UR - https://pm-research.com/content/31/5/46.abstract N2 - Can investors improve their investment opportunity sets by adding a real estate investment trust (REIT) portfolio to benchmark portfolios sorted by firm size and book-to-market ratio? According to U.S. REIT performance data over 1980–2002, REITs after 1986 improve the mean-variance frontier set. Equity REITs appear to be non-redundant financial assets, which helps to enhance the completeness of the financial market. Mortgage REITs provide no diversification benefits in the sample period. ER -