The subject of this work is the significance of asset allocation in the retail sector and its efficiency during the financial market crisis of 2008. The introduction defines the problem statement, objectives, and methodology. Following this, the key concepts of asset allocation, return, and risk are fundamentally discussed, highlighting their interrelated significance. This is followed by an outline of Harry M. Markowitz's portfolio theory. The subsequent definition and brief overview of the financial market crisis serve as a transition to the main part. The focus of the book is the analysis of a large German private bank. Initially, the general implementation of an asset allocation strategy is described and explained in terms of its profitability. This is followed by the replication of a portfolio with specific investment recommendations from the examined bank.