Long-term U.S. infrastructure returns and portfolio selection

Robert Bianchi, Graham Bornholt, Michael Drew and Michael F. Howard

Journal of Banking & Finance, 2014, vol. 42, issue C, 314-325

Abstract: Our understanding of the long-term return behavior and portfolio characteristics of public infrastructure investments is limited by a relatively short history of empirical data. We re-construct U.S. listed infrastructure index returns by mapping their monthly performance to received systematic and industry risk factors from 1927 through 2010. Our findings reveal that the infrastructure returns in recent years may understate the tail-risk that investors could experience over the long-term, however, this tail-risk is commensurate with holding a broad portfolio of U.S. stocks. For mean-variance and mean-CVaR investors, we report the benefits of holding public infrastructure assets in investment portfolios.

Keywords: Infrastructure; Portfolio management; Risk exposure; Asset pricing (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S037842661400048X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:42:y:2014:i:c:p:314-325

DOI: 10.1016/j.jbankfin.2014.01.034

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).