摘要：Traditionally, pension funds invest heavily in fixed income securities. More recently, pension funds have also been increasing their exposure to non- conventional asset classes including real estate. Over the last two decades, pension funds in Tanzania have increased their real estate allocations to more than 18%, which is relatively higher compared to the international practice. This paper looks into investment practice by pension funds in Tanzania with a view to examining whether real estate inclusion contributes to the attainment of optimal portfolios. The study entails mean-variance optimisation analysis of pension funds’ portfolios, covering a period between 2009 and 2018. Findings show that real estate inclusion in pension funds’ portfolios has risk reduction potential. This paper enriches literature on pension funds’ investment practice, particularly those in the countries that are characterised by nascent capital markets institutions. The study also compares conventional literature on pension funds investment practice and the reality on the ground.
