Campus Only Senior Thesis
Bachelor of Arts
© 2013 Michael A. Cahill
This paper investigates the role of U.S. infrastructure investments in a multi-asset portfolio, by using monthly return data for eight different asset classes from the period December 2002 to March 2013. Applying mean variance, as well as mean-downside risk, optimization models, I show that U.S. infrastructure plays an important role in delivering better risk/return trade-offs than more traditional portfolios. Infrastructure proves to be most beneficial to moderate-risk portfolios where the standard deviation ranges from 2% to 6% and the maximum allocation to infrastructure is 65.49%. Additionally, I show that infrastructure is more attractive to investors who are averse to variance, rather than downside risk.
Cahill, Michael A., "The Role of U.S. Infrastructure Investment in Strategic Asset Allocation" (2013). CMC Senior Theses. 560.
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.