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 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...

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...

"The significant correlation between infrastructure and economic productivity mirrors ñ especially in times of required global competitiveness ñ the importance as well as the fundamental role of this sector. In recent years, private investment in infrastructure ñ direct as well as indirect ñ...

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 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 study provides insight into the pricing of publicly traded European real estate equities. The Fama-French three-factor model, as well as unconditional and conditional Fama-MacBeth regressions are applied to a sample of 275 real estate equities from 16 European countries over the period 1988...