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The Application of Modern Portfolio Theory to Real Estate: A Brief Survey

  • Timothy W. Viezer

Abstract

Unlike their colleagues in the stock and bond markets, institutional real estate investors have been slow to use Modern Portfolio Theory (MPT) in their decisionmaking processes. Surveys by Wiley, (1976), Webb (1984), Louargand (1992), and Worzala and Bajelsmit (1997) have shown that diversification has slowly entered into the lexicon and decision-making processes of institutional real estate investors, but those that used the quantitative methods espoused by MPT were in the minority. To be sure, not all stock and bond managers use MPT to construct or analyze their portfolios, but the real estate practitioners’ unwillingness to use these quantitative tools was due to their discomfort with MPTs reliance on data they saw as unrepresentative and MPTs abstraction from the traditional real estate decision-making process, which has been concernedwith the details and specifics of “doing the deal.”

Keywords

Real Estate Private Equity Sharpe Ratio Downside Risk Asset Class 
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© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.University of CincinnatiCincinnatiUSA

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