We test relative illiquidity, exemplified through a temporary lock-up, as a partial explanation for the gap between theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in bear markets, reducing their diversification benefits, the ex ante knowledge of a lock-up in an asset class offering diversification benefits in bull markets (Hung, Onayev and Tu, 2008) may reduce the optimal weight an investor wishes to put in it ex ante. Using the portfolio policies by Brandt and Santa-Clara (2006), and introducing a lock-up in line with de Roon, Guo and ter Horst (2009), we study the effects of a partial lock-up on the weight for REITs in a U.S. stock and bond portfolio. We find support for our prediction, in the form of lower weights for the illiquid asset once a lock-up is introduced.