Theoretical Review to the Definition of the IBEX35 Stock Index as the Market Portfolio in Spain
The theoretical review of the present paper shows the practical usefulness of Markowitz-Tobin-Sharpe-Lintner (MTSL) model in the Spanish Stock Market to provide optimal portfolios that offer higher profitability and reduced risk than the IBEX35 Index portfolio, seen in this study inefficient and with a different composition than the optimal one, and considered by financial practice as the market portfolio of the Spanish Stock Market in equilibrium conditions. To conduct this empirical work, monthly historical components of the IBEX35 and their historical return data for the period 2001-2010 were processed through a discrete event simulation to obtain two Sharpe ratio time series for both, the IBEX35 and the optimal portfolio calculated with the MTSL model. These were geometrically compared against a historical record of efficient frontiers and subsequently studied with one-way analysis of variance and box plot test.
portfolio theory markowitz model optimal portfolio stock index
MARTINEZ TORRE-ENCISO, Isabel VALDEMAR DE LA TORRE TORRES,Oscar BILBAO GARCIA, Javier
Finance and Marketing Management Department, Universidad Autonoma de Madrid, Spain Institute de Investigaciones Economicas y Empresariales, Universidad Michoacana de San Nicolas de Hi Financial Economic and Acounting Ⅲ Department, Universidad Complutense de Madrid, Spain
国际会议
2010 International Conference on Risk and Reliability Management(2010年风险与可靠性管理国际会议RRM 2010)
北京
英文
365-373
2010-10-23（万方平台首次上网日期，不代表论文的发表时间）