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| Author: | Ennis, R.M. Burik, P. |
| Title: | Pension fund real estate investment under a simple equilibrium pricing model |
| Journal: | Financial Analysts' Journal
1991 : MAY/JUNE, VOL. 47:3, p. 20-30 |
| Index terms: | PENSION FUNDS PROPERTY PRICING |
| Language: | eng |
| Abstract: | Analysis of the capital asset pricing model (CAPM) in pension fund investment in real estate. Investment opportunity set and pension fund investments. Mean variance portfolio selection. Real estate returns. Alternative sources. Volatility. Correlation coefficient. Market efficiency. Choosing a return series. Equilibrium pricing framework. Model. Data and method. Optimal portfolios including real estate. Complex equilibrium model. Four Figures and 7 Tables illustrate the study. |
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