Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/42447
Title: Portfolios in the Ibex 35 before and after the Global Financial Crisis
Authors: Adame, Víctor M.
Fernández-Rodríguez, Fernando 
Sosvilla-Rivero, Simon
UNESCO Clasification: 53 Ciencias económicas
Keywords: Econometrics
Finance: portfolio choice
Investment decisions
Minimum-variance portfolios
Out-of-sample performance
Robust statistics
Issue Date: 2016
Journal: Applied economics (Print) 
Abstract: In this article, we present an analysis of the effectiveness of various portfolio optimization strategies applied to the stocks included in the Spanish Ibex 35 index, for a period of 14 years, from 2001 until 2014. The period under study includes episodes of volatility and instability in financial markets, incorporating the Global Financial Crisis and the European Sovereign Debt Crisis. This implies a challenge in portfolio optimization strategies since the methodologies are restricted to the assignment of positive weights. We have taken for asset allocation the daily returns with an estimation window equal to 1 year and we hold portfolio assets for another year. This article attempts to influence the discussion over whether the naive diversification proves to be an effective strategy as opposed to portfolio optimization models. For that, we evaluate the out-of-sample performance of 15 strategies for asset allocation in the Ibex 35, before and after of the Global Financial Crisis. Our results suggest that a large number of strategies outperform to the 1/N rule and to the Ibex 35 index in terms of return, Sharpe ratio and lower VaR and CVaR. The mean-variance portfolio of Markowitz with short-sale constraints is the only strategy that renders a Sharpe ratio statistically different from Ibex 35 index in the 2001–2007 and 2008–2014 time periods.
URI: http://hdl.handle.net/10553/42447
ISSN: 0003-6846
DOI: 10.1080/00036846.2016.1145352
Source: Applied Economics[ISSN 0003-6846],v. 48, p. 3826-3847
Appears in Collections:Artículos
Show full item record

Google ScholarTM

Check

Altmetric


Share



Export metadata



Items in accedaCRIS are protected by copyright, with all rights reserved, unless otherwise indicated.