A dissimilar performance characteristic displayed by asset classes over the economic business cycle has determined the purpose of this study - the integration of the business cycle approach into the construction of optimal investment portfolios. The paper combines business cycle, asset allocation and portfolio optimization theories by presenting a new model of the investment process and adding valuable information about the performance of asset classes in different phases of the business cycle. One of the best measures for the business cycle are leading indicators that can provide significant information on market expectations and future outlook; hence, every investor can improve his performance and risk management by adopting the results of this study. The use of the OECD Composite Leading Indicator as a business cycle measure assists in showing methods for constructing optimal portfolios and making investment decisions. The conducted analysis uses 6 asset classes: US stocks, EAFE stocks, Bonds, Gold, Real estate and Commodities. Monthly data on the performed research covers the period from February 1976 to December 2011.
Dzikevičius, A., & Vetrov, J. (2013). Investment portfolio management using the business cycle approach. Business: Theory and Practice, 14(1), 57-63. https://doi.org/10.3846/btp.2013.07
Authors who publish with this journal agree to the following terms
that this article contains no violation of any existing copyright or other third party right or any material of a libelous, confidential, or otherwise unlawful nature, and that I will indemnify and keep indemnified the Editor and THE PUBLISHER against all claims and expenses (including legal costs and expenses) arising from any breach of this warranty and the other warranties on my behalf in this agreement;
that I have obtained permission for and acknowledged the source of any illustrations, diagrams or other material included in the article of which I am not the copyright owner.
on behalf of any co-authors, I agree to this work being published in Creativity Studies as Open Access, and licenced under a Creative Commons Licence, 4.0 https://creativecommons.org/licenses/by/4.0/legalcode. This licence allows for the fullest distribution and re-use of the work for the benefit of scholarly information.
For authors that are not copyright owners in the work (for example government employees), please contact VILNIUS TECH to make alternative agreements.