Water as an Asset Class (Revised Version)

Bernard Gilroy, Heike Schreckenberg () and Volker Seiler ()
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Heike Schreckenberg: University of Paderborn
Volker Seiler: University of Paderborn

No 55, Working Papers CIE from Paderborn University, CIE Center for International Economics

Abstract: As correlations of asset returns increased and diversification effects vanished during the financial crisis, the search for new and potentially uncorrelated asset classes gains importance. As a result, several asset classes have been analyzed by academics in order to determine their diversification properties. In this article we take a closer look at water as an asset and its potential diversification benefits. Water as an alternative asset improves a traditional stock and bond portfolio. Though the enhancement of a portfolio’s Sharpe ratio due to the inclusion of water as an additional asset is of economic significance, we do not find evidence of statistical significance.

Keywords: Alternative Assets; Diversification; Water (search for similar items in EconPapers)
JEL-codes: G11 Q25 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2013-03
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Citations: View citations in EconPapers (1)

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