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- W2914805168 abstract "Direct infrastructure has emerged as a separate asset class in recent years and found its way into investment portfolios. Employing a US transaction-based index which covers the Q2 1990 to Q2 2010 period, this paper investigates the role of infrastructure in a multi-asset portfolio. We determine time-varying asset allocations using a mean-variance, as well as a mean-downside risk optimization algorithm. The results show that infrastructure plays an important role in asset allocation, particularly in mean-downside-risk efficient portfolios. The share of infrastructure amounts to a maximum of almost 37% of total wealth and it is allocated consistently over time. Allocations in mean-variance efficient portfolios are significantly lower and infrastructure is not consistently allocated over time. Independently of the optimization algorithm employed, infrastructure is allocated predominantly to low-risk low-return portfolios. Furthermore, infrastructure is an attractive asset for investors with investment horizons exceeding two years. Moreover, the allocation to infrastructure is highly dependent on whether large cap stocks are allocated to the portfolio. Due to the similar underlying long-term characteristics of large cap stocks and infrastructure, both assets exhibit significant positive correlations over longer investment horizons." @default.
- W2914805168 created "2019-02-21" @default.
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- W2914805168 date "2011-01-01" @default.
- W2914805168 modified "2023-09-25" @default.
- W2914805168 title "Infrastructure Investments: New Evidence from Dynamic Asset Allocation" @default.
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- W2914805168 doi "https://doi.org/10.2139/ssrn.1903662" @default.
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