Beyond traditional financial asset classes: The demand for infrastructure in a multi-period asset allocation framework

被引：0

作者：

Umar, Zaghum ^{[1
,7
]}

Zaremba, Adam ^{[2
,3
]}

Gull, Ammar Ali ^{[4
,5
]}

Sokolova, Tatiana ^{[6
]}

机构：

[1] Zayed Univ, Coll Business, Abu Dhabi, U Arab Emirates

[2] Montpellier Business Sch, Montpellier, France

[3] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Poznan, Poland

[4] ESSCA Sch Management, Lyon, France

[5] Vietnam Natl Univ, Int Sch, Hanoi, Vietnam

[6] HSE Univ, Ctr Financial Res & Data Analyt, Moscow, Russia

[7] Zayed Univ, Coll Business, POB 144534, Abu Dhabi, U Arab Emirates

来源：

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS | 2024年 / 29卷 / 03期

关键词：

infrastructure finance; intertemporal hedging demand; myopic demand; portfolio choice; LIFETIME PORTFOLIO SELECTION; UNLISTED INFRASTRUCTURE; LISTED INFRASTRUCTURE; TEMPORAL BEHAVIOR; RISK-AVERSION; LONG-RUN; RETURNS; INVESTMENT; PERFORMANCE; CONSUMPTION;

D O I：

10.1002/ijfe.2800

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper employs a multi-asset allocation framework to analyse the short-term and long-term desirability of listed infrastructure investments in an investor's portfolio. We employ 14 infrastructure indices encompassing six regions and eight sectors. The asset menu of the investor comprises traditional financial asset classes (stocks, bonds and bills) and infrastructure. We calculate the welfare losses due to ignoring the demand for infrastructure for various levels of risk aversion. In addition, we calculate the portfolio weights across various levels of risk aversion. Our results show that infrastructure is a desirable addition to the portfolio of traditional financial asset classes for both short-run and long-run investors.

引用

页码：2581 / 2592

页数：12

共 47 条

[1] Multi-period asset allocation by stochastic dynamic programming
Kung, James J.
[J]. APPLIED MATHEMATICS AND COMPUTATION, 2008, 199 (01) : 341 - 348
[2] Multi-period stochastic optimization models for dynamic asset allocation
Hibiki, N
[J]. JOURNAL OF BANKING & FINANCE, 2006, 30 (02) : 365 - 390
[3] Multi-period asset allocation under hidden Markovianly driven noises
Luo, Shangzhen
[J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 2007, 25 (05) : 1057 - 1078
[4] Multi-Period Asset Allocation with Lower Partial Moments Criteria and Affine Policies
Calafiore, Giuseppe Carlo
Kharaman, Fatemeh
[J]. 2014 IEEE CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING & ECONOMICS (CIFER), 2014, : 100 - 106
[5] Multi-period stochastic programming models using simulated paths for strategic asset allocation
Hibiki, N
[J]. JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN, 2001, 44 (02) : 169 - 193
[6] Multi-period sentiment asset pricing model with information
Li, Jinfang
[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2014, 34 : 118 - 130
[7] Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean-variance framework
Yao, Haixiang
Lai, Yongzeng
Ma, Qinghua
Jian, Minjie
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2014, 54 : 84 - 92
[8] Individual asset and liability management multi-period decision models
Jin Xiu
Huang Xiao-yuan
Feng Ying-jie
[J]. Proceedings of 2005 Chinese Control and Decision Conference, Vols 1 and 2, 2005, : 1903 - +
[9] An Asset-Liability Version of the Capital Asset Pricing Model with a Multi-Period Two-Fund Theorem
Waring, M. Barton
Whitney, Duane
[J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2009, 35 (04): : 111 - +
[10] Multi-period experimental asset markets with distinct fundamental value regimes
Thomas Stöckl
Jürgen Huber
Michael Kirchler
[J]. Experimental Economics, 2015, 18 : 314 - 334

← 1 2 3 4 5 →