| PDF (1MB) |
- URN to cite this document:
- urn:nbn:de:bvb:355-epub-312967
- DOI to cite this document:
- 10.5283/epub.31296
| Item type: | Book |
|---|---|
| Date: | 2015 |
| Referee: | Prof. Dr. Wolfgang Schäfers |
| Date of exam: | 8 February 2012 |
| Institutions: | Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienmanagement (Prof. Dr. Wolfgang Schäfers) |
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics |
| Status: | Published |
| Refereed: | Yes, this version has been refereed |
| Created at the University of Regensburg: | Yes |
| Item ID: | 31296 |
Abstract (English)
The importance of asset allocation is widely discussed in the academic literature and free of any controversy. It constitutes the essential foundation of investment decisions and is the main determinant of portfolio performance. However, there is no consensus on how much wealth should be allocated on a given asset class, as this depends on numerous variables such as return expectations, risk ...
Abstract (English)
The importance of asset allocation is widely discussed in the academic literature and free of any controversy. It constitutes the essential foundation of investment decisions and is the main determinant of portfolio performance. However, there is no consensus on how much wealth should be allocated on a given asset class, as this depends on numerous variables such as return expectations, risk aversion, macroeconomic circumstances, illiquidity and the specific investment horizon. The original basis for asset allocation has been eroded during the last decade, as the traditionally main assets such as bonds, stocks and real estate have been affect-ed by significant losses and are subject to considerable uncertainty. This makes it even more difficult for fund managers to decide how much wealth should be allocated to the various potential assets. Stock markets have suffered substantially through macroeconomic distortions reflected in high volatility and poor average performance. Bonds, which constitute a major share of institutional investment portfolios, are currently heavily influenced by growing gov-ernmental debt obligations. The former “save haven” of real estate was the main activator of the recent financial crisis and property markets lost substantially in value.
These impacts on investment portfolios have substantially altered investor perceptions and attitudes towards their original asset allocation strategy. In order to avoid further substantial losses as experienced during recent years, investors are now seeking sources of diversification to supplement core assets like stocks, bonds and real estate. In this context, private invest-ments in infrastructure have been identified by many institutional investors as a viable alter-native. The infrastructure asset universe can be divided into two main categories: economic and social infrastructure. Economic infrastructure includes long-lasting, large-scale physical structures like transportation and communication infrastructure, as well as energy and utility facilities. Social infrastructure, on the other hand, includes education, healthcare, waste dis-posal and judicial facilities. Despite this diversity and heterogeneity, infrastructure assets are considered to have attractive investment characteristics. The nature of infrastructure as a con-servative, tangible and real asset seems to constitute a viable alternative to synthetic and com-plex financial products. Furthermore, due to their monopolistic nature, infrastructure invest-ments are expected to provide stable and predictable long-term cash flows, which may enable investors to match their long-term liabilities. This monopolistic character and the provision of basic services, might induce cash flows which are less vulnerable to economic downturns than those from other, more cyclical assets. In consequence, infrastructure might be able to stabilize portfolio returns and reduce volatility. The private involvement in the infrastructure sector is driven by financial strains on governments, which render the public sector unable to guarantee adequate infrastructure provision. However, this imbalance between infrastructure provision and demand is expected to gain further momentum and increase privatization pressure over the long run. Nevertheless, despite the promising future infrastructure’s track record and its investment history are still young, raising the question of whether infrastructure will really be able to meet optimistic investor expectations.
The infrastructure sector still lacks of professional structures and standardization at different levels and additionally faces a classification problem within the portfolio. Accordingly, infra-structure assets are often managed together with (seemingly) related assets like real estate. Short histories and a lack of good quality direct performance data still impede independent (academic) research and render infrastructure investment in-transparent, which in turn hinders investment. The objective of this dissertation is to deal with some of these shortcomings and to coherently analyze the role of direct infrastructure in a diversified portfolio, by using a novel set of direct infrastructure performance data. In order to provide robust and meaningful results, the dissertation deals with a number of different aspects which are important to the asset allocation management process. In particular, the investigation accounts for different markets, empirical models, expected returns, target rates, market phases, nominal and real returns, hedging abilities in the context of liabilities and systematic market risk. Furthermore, there is a specific and detailed focus on the relationship between real estate and infrastructure and on the relationship between direct and indirect infrastructure returns.
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