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ISBN-10: 1845441508

ISBN-13: 9781845441500

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This cyclical nature may also be responsible for the strong performance of the tangency portfolios, and in particular the classical Sharpe portfolio, which may be due to a momentum effect in property, which would again tend to last longer than corresponding effects in the equity or bonds markets. Conclusions Madura and Abernathy (1985) conclude that there is a vast difference between “potential gains” from an ex post analysis and “realised gains” from an ex ante analysis. This is true for equity, fixed income and securitised real estate portfolios alike and is confirmed in this study for the direct real estate market.

The first strategy is the equal-weighted naı¨ve portfolio. Eun and Resnick (1988) view this approach as a naive diversification strategy in the attempt to capture some of the potential gains from sector/regional diversification. The naı¨ve portfolio, as discussed above, also represents one of the many possible constrained portfolios and so should perform well in an ex ante framework as it “constrains” the impact of instability in the input parameters, Frost and Savarino (1988) and Chopra (1993).

Consequently the successful application of MPT to the real estate portfolio construction process requires an optimisation procedure that explicitly takes account of estimation risk. The following section therefore uses one such approach[1], the Bayes-Stein shrinkage estimator in deriving the ex post weights of the portfolio with the highest return per unit risk, on the efficient frontier, and tests its performance to see Real estate portfolio 237 JPIF 23,3 if the reduction in estimation leads to greater ex ante performance in subsequent periods.

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