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| A Note on Optimal Portfolio Selection
and Diversification Benefits with a Short Sale Restriction on Real Estate Assets Author: Tsong-Yue Lai, Ko Wang, Su Han Chan, and Daniel C. Lee Start Page: 493 Abstract: This paper develops an
optimal portfolio selection technique when short sales on real estate assets are
restricted. Using the well-known mean-variance efficient concept, we are able to derive
the optimal weights for portfolios consisting of both financial assets and real estate
assets. Our paper provides a simple but powerful tool for portfolio managers to correctly
construct mean-variance portfolios under short sale constraints. |
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