Explanation:

• Option A (Correct): Private real estate markets typically involve high transaction costs due to the complexity and illiquidity of property transactions.

• Option B (Incorrect): Private market indices are not directly investable, as they often represent theoretical benchmarks rather than tradable assets. Additionally, real estate investments usually require professional management.

• Option C (Incorrect): Establishing a diversified portfolio of wholly owned properties is challenging for small investors due to the significant capital requirements and operational complexities involved.