Date of Graduation
Bachelor of Science in Business Administration
In a market contraction, it is often beneficial to actively manage fixed income and fixed income-like portfolio via strategic asset allocation. Many fixed income securities tend to outperform equities during market contractions owing to their fixed payment streams, lower volatility, and higher position in capital structure. This study seeks to estimate a set of optimal asset allocation portfolios in anticipation of recessions empirically using historic inflation-adjusted data. I apply mean-variance optimization to find optimal portfolio mix, discuss investors of different risk levels and discuss performance of portfolios in growth, recession and long-term periods.
Phan, Ngoc B., "Strategic Asset Allocation For Fixed Income And Fixed Income-Like Securities In Anticipation Of A Bear Market" (2016). Finance Undergraduate Honors Theses. 35.