Evaluation of asset allocation strategies based on periods of recession and prosperity
Evaluation of asset allocation strategies based on periods of recession and prosperity
Subject Areas : Financial Knowledge of Securities Analysis
afsoon afsary 1 , gholamreza askarzadeh 2
1 - department of finance, yazd branch, islamic azad university, yazd, iran
2 - گ Assistant Prof. Department of Financial Management, Yazd Branch, Islamic Azad University, Yazd, Iran,
Keywords: Allocation strategy, recession period, boom period, multi-criteria decision making, ELECTRE.,
Abstract :
The goal of the asset allocation strategy is to select a portfolio from the set of available assets that, in addition to minimizing the portfolio risk, also meets the minimum level of portfolio return for investment.Dynamic allocation of assets and identification of regime change as soon as possible can continue the return of the investment portfolio with acceptable credit and taking advantage of the new trend. In this research, the performance of equal weight strategy, equal risk share strategy, and minimum variance strategy was evaluated in recession and boom periods according to Sharpe and Trainor criteria. Finally, with the help of ELECTRE multi-criteria decision-making method, asset allocation strategies were ranked during recession and prosperity. To do this important, weekly data of 25 indexes of different industries of Tehran Stock Exchange was collected from the website of Tehran Stock Exchange Technology Management Company and the website of Stock Exchange. The results showed that the equal weight asset allocation strategy has a better performance and a higher rank according to the Sharpe and Trainor criteria during recession and prosperity.
