Abstract
Executive Summary. This study examines the out-of-sample performance of equity real estate investment trust portfolios based on the NAREIT sector indices. The article examines the use of alternative techniques to reduce estimation error and this improves out-of-sample performance. The findings reveal that unlike previous studies of the capital markets, the tangency portfolios tend to out-perform out-of-sample, despite the instability in the weights and the presence of corner solutions. The minimum-variance portfolio continues to under-perform despite the reduction in estimation error.
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