This study aims to demonstrate the benefits related to the inclusion of European REIT in a portfolio of stocks and bonds traded on European markets. Major studies of the portfolio’s diversification those considered REIT was carried out on the American real estate market. Therefore, this research project aims to extend the work to the European scale by forming a mixed pan‐European REIT portfolio. The database is composed of monthly dividend‐adjusted closing prices, over the past 11 years, from different stock indexes collected during eleven years of different European market indexes. Four hypothetic portfolios were constructed to test our hypothesis. Descriptive statistics and correlations were presented. Therefore, the results have shown that European REIT has reduced the risk of a mixed portfolio even if the risk reduction is very limited. The same is true for the portfolio’s return, which was slightly improved. The study showed that European REIT remains a factor of diversification that should not be overlooked in building an asset portfolio. These findings contribute to the existing portfolio theory arguing that using REITs in portfolio diversification helps investors dilute their risk and improve their returns. Our results also have practical implications. They can be useful to investors and financial analysts in their investment decisions by shedding light on this type of asset.