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In the financial literature, it is widely acknowledged that real estate assets can represent valuable tools for portfolio diversification. However, it is empirically observed that institutional investors invest in real estate assets around 7--8\\% of their wealth. This proportion seems to be significantly lower than what predicted by investment theory, which suggests investing in real estate assets in a proportion of 15--20\\% of the total wealth.  The portfolio problem considered in this paper includes four basic asset classes: a money market account, a bond with fixed maturity, a real estate asset and a financial stock index. The optimality criterion is represented by the expected utility of terminal wealth, for logarithmic, CARA and CRRA preferences. Investment strategies are dynamic, the market is assumed to be complete and the portfolio optimization problem is solved via the martingale method. The model incorporates time-varying volatilities and expected excess returns. 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