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Proportionality between allocations in asset management

Author

Listed:
  • Juan David Vega Baquero

    (Riskcenter, Department of Econometrics, Universitat de Barcelona, Spain.)

  • Miguel Santolino

    (Riskcenter, Department of Econometrics, Universitat de Barcelona, Spain.)

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.

Suggested Citation

  • Juan David Vega Baquero & Miguel Santolino, 2026. "Proportionality between allocations in asset management," IREA Working Papers 202601, University of Barcelona, Research Institute of Applied Economics.
    • Handle: RePEc:ira:wpaper:202601
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    File URL: http://www.ub.edu/irea/working_papers/2026/202601.pdf
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    Keywords

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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity

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