Beyond traditional financial asset classes: The demand for infrastructure in a multi‐period asset allocation framework
本文用多期资产配置模型分析14个基础设施指数（覆盖6个地区8个行业），发现无论短期还是长期投资者，将基础设施加入传统股票、债券组合都能提升福利，并给出了不同风险厌恶程度下的最优权重。
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.