Has Real Estate Come of Age

  title={Has Real Estate Come of Age},
  author={Ping Cheng and Zhenguo Lin and Yingchun Liu and Yongmin Zhang},
Executive Summary. This paper reveals the limitations of the classic Modern Portfolio Theory (MPT) and the fallacy of applying this theory to a mixed-asset portfolio that includes real estate. The findings suggest that the validity of the single-period MPT to multi-period investment is critically conditional on the assumption that asset returns over time are independent and identically distributed (i.i.d.) and that the real estate returns are far from this assumption. Furthermore, the analysis… CONTINUE READING