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.
| Identifer | oai:union.ndltd.org:CLAREMONT/oai:http://scholarship.claremont.edu/do/oai/:cmc_theses-1712 |
| Date | 01 January 2013 |
| Creators | Cahill, Michael A |
| Publisher | Scholarship @ Claremont |
| Source Sets | Claremont Colleges |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | CMC Senior Theses |
| Rights | © 2013 Michael A. Cahill |
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