با همکاری مشترک دانشگاه پیام نور و انجمن اقتصاد انرژی ایران

نوع مقاله : پژوهشی

نویسنده

استادیار اقتصاد، دانشکده مدیریت، دانشگاه پیام نور، تهران، ایران.

چکیده

هدف از انجام این مطالعه، بررسی تأثیر تورم بر سرمایه‌گذاری در ترکیبی از دارایی‌های فیزیکی و مالی می‌باشد. سؤال اصلی تحقیق اینست که با تغییر شرایط تورمی و تشدید نرخ تورم، سبد سرمایه‌گذاری بهینه افراد جامعه چگونه دستخوش تغییر می‌گردد؟ برای این منظور، ترکیب بهینه دارایی‌های دلار، سکه طلا، سهام، اوراق مشارکت، مسکن، سپرده‌های بانکی و زمین در شرایط متفاوت تورمی طی دوره 1400-1370 با بهره‌گیری از مدل میانگین- واریانس مارکویتز استخراج گردید. نتایج بیانگر جابجایی دارایی‌ها در سبد سرمایه‌گذاری افراد جامعه در نتیجه تغییر وضعیت تورمی می‌باشد. در وضعیتی که نرخ تورم پایین‌تر از میانگین 30 ساله خود می‌باشد، به ترتیب اوراق مشارکت، مسکن، سهام و سپرده‌های بانکی بهترین ترکیب سرمایه‌گذاری افراد را تشکیل می‌دهند. با تشدید شرایط تورمی و وقتی که نرخ تورم بالاتر از میانگین 30 ساله قرار دارد، سبد بهینه سرمایه‌گذاری به ترتیب مشتمل بر اوراق مشارکت، سکه طلا، سهام و زمین می‌باشد. مقایسه ترکیب دارایی‌ها در چارک‌های اول تا چهارم تورمی بیانگر این است که اولویت اول سرمایه‌گذاری افراد در چهار چارک به ترتیب اوراق مشارکت، مسکن، سهام و سکه طلا می‌باشد.

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Optimal Asset Allocation Under Inflation

نویسنده [English]

  • Faramarz Tahmasebi

Assistant Professor of Economics, Department of Management, Payame Noor University, Tehran, Iran

چکیده [English]

The purpose of this study is to investigate the impact of inflation on investment in a combination of physical and financial assets. The main research question is how the optimal investment portfolio of the people changes with the change of the inflationary conditions and the escalation of the inflation rate? For this purpose, the optimal combination of assets such as dollar, gold coin, equity, bonds, housing, bank deposits and land was extracted in different inflationary conditions during the period of 1991-2021 using Markowitz's mean-variance model. The results indicated that assets are moved in the people’s investment portfolio due to the change in the inflationary conditions. Where the inflation rate was lower than its 30-year average, the best investment combination for people were bonds, housing, equiy and bank deposits, respectively. With the escalating inflationary conditions and the inflation rate higher than the 30-year average, the optimal investment portfolio includes bonds, gold coins, equity and land, respectively. Comparing the composition of assets in the first to fourth quartiles of inflation represented that the bonds, housing, equity and gold coin are the first priorities of people's investment.

کلیدواژه‌ها [English]

  • Inflation
  • Optimal Combination of Assets
  • Return
  • Risk
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