Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW.Download this ZEW Discussion Paper from our ftp server:ftp://ftp.zew.de/pub/zew-docs/dp/dp10034.pdf In contrast to previous studies in the field of DR optimization in real estate portfolios, the theoretical / technical merit of the Estrada (2008) approach is given by the innovative concept of measuring co-downside movements and using a similar optimization procedure to that in the traditional mean-variance (MV) framework at the same time. To our knowledge, this approach is applied for the first time to portfolios of real estate assets. Furthermore, covering the eight largest securitized real estate markets around the world, the analysis is also the first applying the DR framework in a global context. Non-technical SummaryIn addition to the theoretical merits of the DR framework, the empirical results further support the strength of the applied DR framework compared to the MV framework and provide several interesting and practical implications for investors in international securitized real estate markets. The conducted analysis documents in a comprehensive way that the DR approach suggested by Estrada (2008) has its merits when applying it to securitized real estate portfolio optimization problems. Furthermore, it is shown that portfolio weights differ substantially from MV optimization and the DR framework is superior in an out-of-sample analysis. Thus, the presented DR framework constitutes a useful contribution to investors facing practical portfolio optimization problems in securitized international real estate markets.-II - Das Wichtigste in Kürze