RT Journal Article SR Electronic T1 Real Estate Investment Trusts JF The Journal of Portfolio Management FD Institutional Investor Journals SP 46 OP 54 DO 10.3905/jpm.2005.593887 VO 31 IS 5 A1 Hsuan-Chi Chen A1 Keng-Yu Ho A1 Chiuling Lu A1 Cheng-Huan Wu YR 2005 UL https://pm-research.com/content/31/5/46.abstract AB Can investors improve their investment opportunity sets by adding a real estate investment trust (REIT) portfolio to benchmark portfolios sorted by firm size and book-to-market ratio? According to U.S. REIT performance data over 1980–2002, REITs after 1986 improve the mean-variance frontier set. Equity REITs appear to be non-redundant financial assets, which helps to enhance the completeness of the financial market. Mortgage REITs provide no diversification benefits in the sample period.