Date of Graduation
Bachelor of Science in Business Administration
This paper investigates whether portfolio managers can outperform the S&P 500 index using top-down asset allocation, using historical returns, standard deviations, and correlations of different asset classes. Efficient diversification between asset classes reduces the idiosyncratic risk by selecting assets from a wide variety of different classes of assets in different parts of the world. The goal is to create an optimization model that makes it possible for a portfolio manager to generate higher expected returns, while taking risk equal to that of the S&P 500, or incur lower risk while generating the same expected return of the S&P 500.
Lanier, B. (2016). Outperforming the S&P 500 Using Top-Down Asset Allocation. Finance Undergraduate Honors Theses Retrieved from https://scholarworks.uark.edu/finnuht/37