Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/42447
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dc.contributor.authorAdame, Víctor M.en_US
dc.contributor.authorFernández-Rodríguez, Fernandoen_US
dc.contributor.authorSosvilla-Rivero, Simonen_US
dc.date.accessioned2018-11-14T09:55:59Z-
dc.date.available2018-11-14T09:55:59Z-
dc.date.issued2016en_US
dc.identifier.issn0003-6846en_US
dc.identifier.urihttp://hdl.handle.net/10553/42447-
dc.description.abstractIn 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.en_US
dc.languageengen_US
dc.relation.ispartofApplied economics (Print)en_US
dc.sourceApplied Economics[ISSN 0003-6846],v. 48, p. 3826-3847en_US
dc.subject53 Ciencias económicasen_US
dc.subject.otherEconometricsen_US
dc.subject.otherFinance: portfolio choiceen_US
dc.subject.otherInvestment decisionsen_US
dc.subject.otherMinimum-variance portfoliosen_US
dc.subject.otherOut-of-sample performanceen_US
dc.subject.otherRobust statisticsen_US
dc.titlePortfolios in the Ibex 35 before and after the Global Financial Crisisen_US
dc.typeinfo:eu-repo/semantics/Articlees
dc.typeArticlees
dc.identifier.doi10.1080/00036846.2016.1145352
dc.identifier.scopus84958061691-
dc.identifier.isi000380124300004
dc.contributor.authorscopusid57115400000
dc.contributor.authorscopusid6603053452
dc.contributor.authorscopusid6701863324
dc.description.lastpage3847-
dc.identifier.issue40-
dc.description.firstpage3826-
dc.relation.volume48-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.contributor.daisngid18808934
dc.contributor.daisngid1514720
dc.contributor.daisngid514725
dc.contributor.wosstandardWOS:Adame, VM
dc.contributor.wosstandardWOS:Fernandez-Rodriguez, F
dc.contributor.wosstandardWOS:Sosvilla-Rivero, S
dc.date.coverdateAgosto 2016
dc.identifier.ulpgces
dc.description.sjr0,464
dc.description.jcr0,648
dc.description.sjrqQ2
dc.description.jcrqQ3
dc.description.ssciSSCI
item.grantfulltextnone-
item.fulltextSin texto completo-
crisitem.author.deptGIR Finanzas Cuantitativas y Computacionales-
crisitem.author.orcid0000-0002-8808-9286-
crisitem.author.parentorgDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.fullNameFernández Rodríguez,Fernando Emilio-
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