{"id":635,"date":"2020-04-28T01:35:51","date_gmt":"2020-04-27T17:35:51","guid":{"rendered":"http:\/\/localhost:8888\/?p=635"},"modified":"2025-12-28T05:08:48","modified_gmt":"2025-12-27T21:08:48","slug":"the-effect-of-lock-ups-on-the-suggested-real-estate-portfolio-weight","status":"publish","type":"post","link":"https:\/\/www.gssinst.org\/irer\/2020\/04\/28\/the-effect-of-lock-ups-on-the-suggested-real-estate-portfolio-weight\/","title":{"rendered":"The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight"},"content":{"rendered":"\t\t
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<\/p>

Article<\/div>

The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight<\/p>

Author<\/p>

Start Page \/ End Page<\/p>

Volume<\/p>

Issue Number<\/p>

Year<\/p>

Publication<\/p><\/div>

<\/p>

Martin Hoesli, Eva Liljeblom, Anders Loflund<\/p>

1 \/ 22<\/p>

17<\/p>

1<\/p>

2014<\/p>

International Real Estate Review<\/p><\/div>

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Abstract<\/p>


We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, which reduce their diversification benefits, the ex-ante knowledge of a lock-up in an asset class that offers diversification benefits in bull markets (Hung et al., 2008) may reduce the optimal weight that an investor wishes to put in it ex-ante. By using dynamic multiperiod portfolio policies by Brandt and Santa-Clara (2006), and introducing a lock-up in line as per de Roon et al. (2009), we study the effects of a partial lock-up on the weight for REITs in a U.S. stock and bond portfolio. We find support for our prediction, in the form of lower weights for the illiquid asset once a lock-up is introduced.<\/p>

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View PDF -https:\/\/doi.org\/10.53383\/100177<\/strong><\/a><\/p>

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Keywords<\/p>

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Asset Allocation; Illiquidity; Lock-Up; Multi-period Portfolio Optimization; REITs<\/p>

Back to Previous Page<\/a><\/p><\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"

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Author<\/p>\n

Start Page \/ End Page<\/p>\n

Volume<\/p>\n

Issue Number<\/p>\n

Year<\/p>\n

Publication<\/p>\n<\/div>\n

\n<\/p>\n

Martin Hoesli, Eva Liljeblom, Anders Loflund<\/p>\n

1 \/ 22<\/p>\n

17<\/p>\n

1<\/p>\n

2014<\/p>\n

International Real Estate Review<\/p>\n<\/div>\n

Keywords<\/p>\n

Asset Allocation; Illiquidity; Lock-Up; Multi-period Portfolio Optimization; REITs<\/p>\n

Download Entire Article.\"download-pdf-large\" <\/a><\/p>\n","protected":false},"author":6,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"article-template.php","format":"standard","meta":[],"categories":[84,83],"tags":[],"_links":{"self":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/635"}],"collection":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/comments?post=635"}],"version-history":[{"count":3,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/635\/revisions"}],"predecessor-version":[{"id":4968,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/posts\/635\/revisions\/4968"}],"wp:attachment":[{"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/media?parent=635"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/categories?post=635"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.gssinst.org\/irer\/wp-json\/wp\/v2\/tags?post=635"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}