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

Author First name, Last name, Institution

Zaghum Umar, Zayed UniversityFollow
Adam Zaremba, Montpellier Business School
Ammar Ali Gull, ESSCA School of Management
Tatiana Sokolova, HSE University

Document Type

Article

Source of Publication

International Journal of Finance and Economics

Publication Date

1-1-2023

Abstract

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.

DOI Link

10.1002/ijfe.2800

ISSN

1076-9307

Publisher

Wiley

Disciplines

Business

Keywords

infrastructure finance, intertemporal hedging demand, myopic demand, portfolio choice

Scopus ID

85148356092

Recommended Citation

Umar, Zaghum; Zaremba, Adam; Gull, Ammar Ali; and Sokolova, Tatiana, "Beyond traditional financial asset classes: The demand for infrastructure in a multi-period asset allocation framework" (2023). All Works. 5660.
https://zuscholars.zu.ac.ae/works/5660

Indexed in Scopus

yes

Open Access

no