IIJournals JPM-Special Real Estate Article Collection | Page 7

indexes; this is a major issue for the industry and leads to
our next class of research puzzles in the asset class.
IMPLEMENTING AN ALLOCATION

As noted earlier, once an allocation to real estate has been
decided on, the nature of the asset class (and the currently available benchmarks) means that implementing
the allocation through actual investments may result in
a real estate portfolio with risk–return characteristics
very different from the index used to make the initial
allocation decision. Investors have increased awareness
of this issue after th