Time Variation in the Allocation to Real Estate Assets through the Life Cycle

We investigate the per- formance of allocations to public and private real estate using dynamic retirement portfolio strate- gies. Our approach frames asset allocation decisions to real estate with the primary objective of maxi- mizing retirement outcomes. The main innovation in this paper is that allocations to listed and un- listed real estate are formally incorporated into a dynamic framework that can be implemented by defined contribution (DC) retirement plans. We demonstrate that the time-variant characteristics of real estate as an asset class can be systematically exploited to improve the risk-return trade-offs in retirement portfolios through the lifecycle of a DC plan member.