Analysis of portfolio diversification between REIT assets

摘要

REIT assets have gained recognizable attention in capital markets in recent decades and their development in time speaks of the impact of interaction among portfolios of REITs assets. This paper aims to analyze cointegration structure between and within different types of REITs and investigate the influence of cointegrated assets on portfolio indicators. A portfolio-optimization analysis is done based on the bivariate relationship among asset prices for the years 1995–2008. Uni and bidirectional causalities among selected REIT assets are studied comparatively under cointegrated and no-cointegrated assumptions and the mean–variance frontiers are analyzed to observe the impact of association by also taking into account the influence of the pre-subprime crisis.