How ensure wifi NOT switched off when phone sleeping

Hi everyone

I was just wondering if anyone knew how to ensure that when an iPhone is sleeping, the Wi-Fi does not temporarily turn off. Whenever the phone is asleep the Wi-Fi turns off so I don't receive any notifications, and then when I wake the phone the Wi-Fi quickly turns back on itself. I don't want it to turn off when asleep.

My understanding is that it's a power saving feature. But my friend with an iPhone 4 says this doesn't happen to him. I have an iPhone 5 with iOS 6.0.2. He actually has 6.0.1 but I don't think this is the problem is it?

Thanks in advance!!