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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/225799
Proportionality between allocations in asset management
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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.
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VEGA BAQUERO, Juan David and SANTOLINO, Miguel. Proportionality between allocations in asset management. IREA – Working Papers. 2026. Vol. IR26/01. [consulted: 13 of June of 2026]. Available at: https://hdl.handle.net/2445/225799