文章基本信息

标题：¿Los índices de mercado son carteras eficientes? El caso español del IBEX-35
本地全文：下载
作者：Mariano González Sánchez ; Juan Miguel Nave Pineda
期刊名称：Cuadernos de Administración
印刷版ISSN：1900-7205
出版年度：2014
卷号：27
期号：48
页码：182-226
语种：Spanish
出版社：Pontificia Universidad Javeriana
摘要：In financial management and asset pricing is often used the market as the efficient market portfolio. The empirical studies to test the efficiency of market index usually assume a gaussian behavior (mean-variance). By contrast, this paper proposed a backtesting methodology from the post type-I and II errors, for both gaussian and non-gaussian behavior. The results on Spanish market index (IBEX-35) show that optimal portfolios may be more efficient than the IBEX-35 with fewer assets, which under a non-Gaussian test are exceeded and, without exhibiting the usual problem of market risk premiums not positive.
其他摘要：In financial management and asset pricing is often used the market as the efficient market portfolio. The empirical studies to test the efficiency of market index usually assume a gaussian behavior (mean-variance). By contrast, this paper proposed a backtesting methodology from the post type-I and II errors, for both gaussian and non-gaussian behavior. The results on Spanish market index (IBEX-35) show that optimal portfolios may be more efficient than the IBEX-35 with fewer assets, which under a non-Gaussian test are exceeded and, without exhibiting the usual problem of market risk premiums not positive.
关键词：Market portfolio;market index;optimization;cartera de mercado;índice de mercado;optimización;riesgo de riesgo;Carteira de mercado;índice de mercado;otimização
其他关键词：Market portfolio; market index; optimization