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

Zaghum Umar, Adam Zaremba, Ammar Gull () and Tatiana Sokolova

International Journal of Finance & Economics, 2024, vol. 29, issue 3, 2581-2592

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.

Date: 2024
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