Despite a number of papers that discuss the advantages of increased
size on risk levels in real estate portfolios there is remarkably little
empirical evidence based on actual portfolios. The objective of this paper
is to remedy this deficiency by examining the portfolio risk of a large
sample of actual property data over the period 1981 to 1996. The results
show that all that can be said is that portfolios of properties of a large
size, on the average, tend to have lower risks than small sized portfolios.
More importantly portfolios of a few properties can have very high or very
low risk.
To List of Working Paper Titles