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Listed Infrastructure Assets as a Tool for Diversification

Author

Listed:
  • Menglong Nan

Abstract

In this paper we provide an extended analytic framework beyond the conventional mean-variance optimization to evaluate the diversification effects of the listed infrastructure equity as an asset class in the context of portfolio optimization. The robust optimization methodology overcomes many disadvantages in the mean-variance optimization by allowing optimization amid uncertainties in parameters. Along with the new measurements effective number of bets in diversification and risks and return, we make the case of investment in the listed infrastructure index. In the multi-period context, the asset under examination performs relatively better with robust optimization and the contributions to the portfolio are stable. The comprehensive reevaluation of the listed infrastructure as an asset class is relevant for institutional investors and the framework is instrumental to similar analysis in the broader area of real estate assets.

Suggested Citation

  • Menglong Nan, 2021. "Listed Infrastructure Assets as a Tool for Diversification," ERES eres2021_77, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2021_77
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    More about this item

    Keywords

    Infrastructure; Investment; portfolio optimization; robust optimization;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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