dc.contributor.author
Vega Baquero, Juan David
dc.contributor.author
Santolino, Miguel
dc.date.accessioned
2026-01-21T20:35:38Z
dc.date.available
2026-01-21T20:35:38Z
dc.date.issued
2026-01-20T11:22:59Z
dc.date.issued
2026-01-20T11:22:59Z
dc.identifier
https://hdl.handle.net/2445/225799
dc.identifier.uri
http://hdl.handle.net/2445/225799
dc.description.abstract
Asset allocation refers to deciding the optimal participation of each asset within a portfolio. Therefore, these participations are a composition, and compositional methods should be used to treat the data and perform analysis over it. When trying to find relationships between parts of a composition, proportions have shown to be more suitable than correlations. In this paper, using a previous proportionality index as starting point, two new indexes are proposed and all of them are used to analyze the asset allocation in a portfolio composed of five stocks from the IBEX 35 (the Spanish stock market index). Results shed light on the connection between volatility, allocations and their proportionality.
dc.format
application/pdf
dc.publisher
Universitat de Barcelona. Facultat d'Economia i Empresa
dc.relation
Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2026/202601.pdf
dc.relation
IREA – Working Papers, 2026, IR26/01
dc.relation
[WP E-IR26/01]
dc.rights
cc-by-nc-nd, (c) Vega Baquero et al., 2026
dc.rights
http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights
info:eu-repo/semantics/openAccess
dc.subject
Assignació d'actius
dc.subject
Gestió d'actius i passius
dc.subject
Anàlisi de variància
dc.subject
Asset allocation
dc.subject
Asset-liability management
dc.subject
Analysis of variance
dc.title
Proportionality between allocations in asset management
dc.type
info:eu-repo/semantics/workingPaper
