Thesis
The role of infrastructure assets in portfolio construction : a Bayesian mean–variance analysis of diversification benefits, macroeconomic resilience, and a regression-based evaluation of the impact of fund structure
- Creator
- Rights statement
- Awarding institution
- University of Strathclyde
- Date of award
- 2026
- Thesis identifier
- T18142
- Person Identifier (Local)
- 201983195
- Qualification Level
- Qualification Name
- Department, School or Faculty
- Abstract
- This study investigates the diversification benefits of incorporating infrastructure equity and debt assets into traditional investment portfolios, employing the Bayesian mean variance optimisation framework developed by Wang (1998). Using a comprehensive dataset of UK and global asset classes, the study constructs both constrained and unconstrained portfolios to evaluate the impact of including infrastructure on portfolio performance. The findings demonstrate that infrastructure assets can significantly enhance portfolio efficiency by improving certainty-equivalent returns and Sharpe ratios, with benefits persisting across various economic regimes, including differing interest rate, inflation, and government spending environments. Furthermore, an empirical analysis of UK-based open-ended and closed-ended infrastructure funds reveals that fund structure can materially influence outcomes, with closed-ended funds often delivering superior risk-adjusted returns. These results underscore the value of infrastructure as a strategic asset class and highlight the importance of fund structure in realising its potential benefits.
- Advisor / supervisor
- Fletcher, Jonathan
- Resource Type
- DOI
Relations
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PDF of thesis T18142 | 2026-10-20 | Public | Download |