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

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