¿Han sido el IBEX35 y el IPC definiciones financieramente eficientes del portafolio de mercado?

Oscar De la Torre Torres () and María Isabel Martínez Torre Enciso ()
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María Isabel Martínez Torre Enciso: Universidad Autonóma de Madrid

Contaduría y Administración, 2013, vol. 58, issue 4, 223-252

Abstract: The present paper questions the financial efficiency of the most used market portfolio proxies in Spain and Mexico (IBEX35 and IPC) in order to determine if these can be considered a proper market portfolio proxy. The paper questions if they can be used as “neutrals”, according to Black & Litterman (1992) proposals in portfolio management. For this purpose, two discrete event simulations that use the Markowtiz-Tobin-Sharpe-Linter model (Markowitz, 1987, p.5) are performed with monthly data of the stock members of these indices in a February 2001 to December 2010 time window. The results are compared by using the Sharpe ratio (Sharpe, 1966) and show that the equilibrium assumptions in the market do not hold, leading to conclude that these market portfolio proxies are inefficient.

Keywords: técnicas de optimización; modelos de simulación; selección de portafolios; valuación de activos (search for similar items in EconPapers)
JEL-codes: C61 C63 G11 G12 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:58:y:2013:i:4:p:223-252

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