An extensive literature finds that indices of returns on equity real estate investment trusts
(REITs) predict return indices in the private commercial real estate (CRE) market. Using a …

Mean-variance portfolio theory remains frequently used as an investment rationale because
of its simplicity, its closed-form solution, and the availability of well-performing robust …

Recent research has shown that macroeconomic uncertainty is a significant factor that is
contemporaneously incorporated into asset returns. Therefore, it should not have a role in …

Abstract Private Commercial Real Estate (CRE) funds provide institutional investors an
opportunity to access the CRE market, but most of them are inaccessible to typical individual …

This study explores whether optimal asset allocation strategies, defined by permutations and
combinations of different predictor variables, produce consistently superior performance for …

This thesis consists of three empirical chapters. First, we examine the long-run linkages and
short-term dynamics between Japan REITs, direct real estate and stocks. Our estimation …