Skip to main content
Article thumbnail
Location of Repository

Risk reduction and diversification in UK commercial property portfolios

By Steven Patrick Devaney, Mark Callender, Angela Sheahan and Tony Key

Abstract

The issue of diversification in direct real estate investment portfolios has been one of the most widely studied topics in academic and practitioner literature. Most work, however, has been done using mean returns and risks for broad market segments as inputs to asset allocation models, or in a few cases using data from small sets of individual properties. This paper reports results from a comprehensive testing of asset allocation modelling drawing on records of 10,000+ UK properties tracked by Investment Property Databank. It provides for the first time robust estimates of the diversification gains attainable given return, risk and cross-correlations across individual properties actually available to fund managers. The discussion of results covers implications for the number of assets and amount of money needed to construct “balanced” portfolios by direct investment, or via indirect specialist vehicles.Publisher PD

Topics: HB Economic Theory
Year: 2007
OAI identifier: oai:aura.abdn.ac.uk:2164/158
Journal:

Suggested articles

Citations

  1. 7. Property Risk and Portfolio Construction . Pap e r Prese n ted t o the Sixth IPD Investme nt Strategies Confe r en ce,
  2. (1963). A Simplified Mod e l for Portfoli o Analysi s .
  3. (1963). A Simplified Model for Portfolio Analysis. doi
  4. (2000). an d Maty sia k
  5. (2003). An Explorat i o n of the Rela tio n s h i p Betwee n Size, Diversificatio n and Ri sk i n UK Real E s tate Portfoli os:
  6. (2003). An Exploration of the Relationship Between Size, Diversification and Risk in UK Real Estate Portfolios: doi
  7. (1964). Capit a l Asset P r ices: A The o ry of Market Eq uilibriu m u n d e r Co ndition s of Risk .
  8. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. doi
  9. (1968). Diversification and the Reduction of Dispersion: An Empirical Analysis. doi
  10. (1987). Ho w M any Stocks M a ke a Diversified Portfolio ? doi
  11. (1987). How Many Stocks Make a Diversified Portfolio? doi
  12. (2005). Indi vidual As sets, Market Stru cture a nd th e Drive r s of Return.
  13. (2005). Individual Assets, Market Structure and the Drivers of Return. doi
  14. (1991). Modern Portfolio Theory; Fact and Fantasy’. Paper presented as part of the seminar series Property in a Portfolio Context organised by the Society of Property Researchers and the RICS.
  15. (2006). Non - Normal Re al Estate Return Distri bution s by Property T y pe in the U.K.
  16. (2006). Non-Normal Real Estate Return Distributions by Property Type in the U.K. doi
  17. (1996). Optima l Portfolio Allocatio n s to Re al Estate. The Journal of Real Estate Portfolio Management .
  18. (1996). Optimal Portfolio Allocations to Real Estate.
  19. (1952). Portfolio Selectio n.
  20. (1959). Portfolio Selection: Efficient Diversification of Investments. Yale CT: doi
  21. (1952). Portfolio Selection. doi
  22. (1991). Property Investment and the Capital Markets . L ondo n: Cha p m an &
  23. (1997). Property Risk and Portfolio Construction.
  24. (2000). Real Estate Investment: A Capital Market Approach.
  25. (1988). Red u cin g the Di spe r s i o n of Returns
  26. (1988). Reducing the Dispersion of Returns in UK Real Estate Portfolios. doi
  27. (1986). Risk and Asset Allocation: Implications of Portfolio Strategy.
  28. (1991). Risk Ma n ageme n t in Investment Property Portfol i os’, Pape r p r ese n ted a s part of the semina r se rie s Property in a Portfolio Context organi sed by the Society of Prope rty Researche r s and the RICS.
  29. (1991). Risk Management in Investment Property Portfolios’, Paper presented as part of the seminar series Property in a Portfolio Context organised by the Society of Property Researchers and the RICS.
  30. (1977). Risk Reduction and Portfolio Size: An Analytical Solution. doi
  31. (2000). Risk Reduction in the United Kingdom Property Market. doi
  32. (1993). V a lue Wei ghti ng and the Variability of Real Est a te Returns: Implic ations for Portfolio Cons truc tio n a nd Perfo r man c e Evaluation .
  33. (1997). Value Weighting and Real Estate Portfolio Risk. doi
  34. (1993). Value Weighting and the Variability of Real Estate Returns: Implications for Portfolio Construction and Performance Evaluation. doi

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.