Home
Investment
History
Policy
Investment Horizon
Overseas Equity
Average Size of Pension Funds
Characteristics
The Accuracy of Appraisal-Based Return
Diversification
Liquidity
Duration
Inflation
Unit Size and Value
Expenses of Purchase and Management
Security of Income
Depreciation
Sensitivity to Government Intervention
Taxation
Investment Conclusion
Portfolio
Theory
The Efficient Frontier with No Short Sales
The Efficient Frontier with Short Sales Allowed
The Efficient Frontier with Risk-Free Lending and Borrowing
Analysis
The Economic Properties of Utility Function
Quadratic Utility
Mixed-Asset Portfolio
The Multi-Period Investment Model
Data
Results
Constrained Real Estate Investment
Overseas Equity
Portfolio Conclusion
Performance
Perspective
Return
Measures of Return
Risk
Total Risk
Systemic Risk
Issues
Performance Conclusion
Equilibrium
Theory
Mean-Variance Portfolio Choice
Equilibrium: The Sharpe-Lintner CAPM
Preferences and the Distribution of Returns
Risk-Free Transactions
Short Sales
Personal Taxes
Non-Marketable Assets
Evidence
Initial Tests of the Standard CAPM
The Zero-β Model
Additional Tests
Applications
Alternative Models
Market Sampling
The Case for β
A Multivariate Approach
Inferential Tests of the CAPM
Equilibrium Conclusion
Behaviour
Methodology
Data
Results
The Markov Régime-Switching Model
Appraisal-Based Indices and Information
Real Estate - Equity or Bond?
Behaviour Conclusion
Alternative Approach
Downside Model
Asset Allocation
Presentation of the Data
Results
Performance
Presentation of the Data
Results
Alternative Approach Conclusion
Conclusions and Implications for Future Research
Limitations of Present Study and Avenues for Future Research
Appendix A: Difficulties Involved in Benchmark Construction
Appendix B: Indirect Investment in Real Estate
Glossary of Terms
Bibliography
Contact