@article {Plazzi39, author = {Alberto Plazzi and Walter Torous and Rossen Valkanov}, title = {Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation}, volume = {37}, number = {5}, pages = {39--50}, year = {2011}, doi = {10.3905/jpm.2011.37.5.039}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Plazzi,Torous, andValkanov use a parametric portfolio approach to estimate optimal commercial real estate portfolio policies. They do so by relying on the NCREIF dataset of commercial properties over the sample period 1984 Q2{\textendash}2009 Q1.The richness of this extensive dataset and the flexibility of the parametric portfolio approach allow the authors to consider: 1) a large cross section of individual properties across various regions and property types, 2) several property-specific conditioning variables such as cap rates, appraisal values, and vacancy rates, and 3) various macroeconomic factors. Property-specific conditioning information is found to be economically important even for portfolios that are well diversified.TOPICS: Real estate, CMBS and commercial mortgage loans, pension funds}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/37/5/39}, eprint = {https://jpm.pm-research.com/content/37/5/39.full.pdf}, journal = {The Journal of Portfolio Management} }