Purpose – The purpose of this paper is to provide conclusive evidence that infrastructure constitutes a separate asset class and cannot be classified as real estate from an investment point‐of‐view. Furthermore, optimal allocations are determined for direct and indirect infrastructure...

This paper investigates the role of direct infrastructure in a multi-asset portfolio by employing a US transaction-based index which covers the period Q2 1990--Q2 2010. We determine time-varying asset allocations using a mean-variance as well as a mean-downside risk optimisation algorithm and...

This paper investigates the role of direct infrastructure investments in a multi-asset portfolio, by employing a US transaction-based index which covers the period Q2 1990 to Q2 2010. We determine time-varying asset allocations using a mean-variance, as well as a mean-downside risk optimization...

This paper investigates the role of direct infrastructure investments in a multi-asset portfolio, by employing a US transaction-based index which covers the period Q2 1990 to Q2 2010. We use an algorithm which minimizes Conditional Drawdown at Risk (CDaR) to determine time-varying asset...

The economic importance of infrastructure has been the subject of extensive research since the late 1980s and is free of controversy. The World Economic Forum (2008) lists infrastructure as one of the most crucial elements to a countryís productivity and competitiveness. In recent years,...

The importance of infrastructure as an alternative asset has emerged significantly in recent years. Based on a novel dataset, this paper investigates the long-run relationships and short-run dynamics between direct and securitized infrastructure returns and the relationsship to the relevant real...

The paper examines the pricing of real estate equities listed in European capital markets from 1983 to 2009. While US equity and listed real estate markets have been thoroughly examined using diverse pricing models, European real estate capital markets have not been scrutinized to a similar...

The paper investigates the effect of coskewness on expected European real estate equity returns. The study tests whether equities that contribute negatively to the skewness of the general equity market have, on average, higher returns than those which contribute positively to market skewness. In...