The case for alternative unlisted investments is based on offering stable and high income yields, low market volatility and enhanced riskadjusted returns. Such investment attributes have enticed increased allocation of capital to property and infrastructure investments in Australia. In turn, there has been a proliferation of investment products in the alternative space by fund managers. This paper examines the proposition of an investment framework which offers a combined allocation to alternatives investments; specifically to unlisted property and infrastructure. This is based on the premise that investment performance can be enhanced via diversification benefits and by managing and mitigating the joint risk pertaining to both assets classes. The concept of jointly allocating across alternative asset classes is supported via the construction of efficient portfolio frontiers. A frontier with both unlisted property and infrastructure delivers a superior enhanced investment outcome than frontiers with individual exposure to alternative asset classes. Furthermore, an investment framework is presented which offers an integrated process which jointly considers the relative risk/return value proposition and portfolio construction issues across alternative asset classes.