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Lee, Stephen (2001)
Publisher: University of Reading
Languages: English
Types: Book
The question as to whether it is better to diversify a real estate portfolio within a property type across the regions or within a region across the property types is one of continuing interest for academics and practitioners alike. The current study, however, is somewhat different from the usual sector/regional analysis taking account of the fact that holdings in the UK real estate market are heavily concentrated in a single region, London. As a result this study is designed to investigate whether a real estate fund manager can obtain a statistically significant improvement in risk/return performance from extending out of a London based portfolio into firstly the rest of the South East of England and then into the remainder of the UK, or whether the manger would be better off staying within London and diversifying across the various property types. The results indicating that staying within London and diversifying across the various property types may offer performance comparable with regional diversification, although this conclusion largely depends on the time period and the fund manager’s ability to diversify efficiently.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • Byrne, P.J. and Lee, S.L. (2000) Risk Reduction in the United Kingdom Property Market. Journal of Property Research, 17, 1, 23-46.
    • Chen, P. and Liang, Y. (2000). Optimal Diversification: Is it Really Worthwhile? Journal of Real Estate Portfolio Management, 6, 7-16.
    • Cullen, I. (1993) Cluster Analysis and Property Risk, in The Cutting Edge: Proceedings of the RICS Property Research Conference, Royal Institution of Chartered Surveyors, London, 21-36.
    • Glen, J. and Jorion, P. (1993). Currency Hedging for International Portfolios, Journal of Finance, 48, 1865-1886.
    • Gordon, J.N. (1999) Rising Market Efficiency: Property Enters the Mainstream, Property Futures, Jones Lang LaSalle, 2-9.
    • Gordon, J.N. (2000) International Transparency in Real Estate Markets, A Paper presented at the ARES Annual Meeting, Santa Barbara California.
    • Hamelink, F., Hoesli, M., Lizieri, C. and MacGregor, B.D. (2000) Homogeneous Commercial property markets Groupings and Portfolio Construction in the United Kingdom, Environment and Planning A, 32, 323-344.
    • Hoesli, M., Lizieri, C. and MacGregor, B. (1997) The Spatial Dimensions of the Investment Performance of UK Commercial Property, Urban Studies, 34, 9, 1475-1494.
    • Jobson, J.D. and Korkie, B. (1981). Performance Hypothesis Testing with the Sharpe and Treynor Measures, Journal of Finance, 36, 888-908.
    • Jorion, P. (1992) Portfolio Optimisation in Practice, Financial Analysts Journal, JanuaryFebruary, 68-74.
  • No related research data.
  • Discovered through pilot similarity algorithms. Send us your feedback.

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