Back to Search
Start Over
¿LOS ÍNDICES DE MERCADO SON CARTERAS EFICIENTES? EL CASO ESPAÑOL DEL IBEX-35.
- Source :
-
Cuadernos de Administración (01203592) . ene-jun2014, Vol. 27 Issue 48, p183-226. 44p. - Publication Year :
- 2014
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- Spanish
- ISSN :
- 01203592
- Volume :
- 27
- Issue :
- 48
- Database :
- Academic Search Index
- Journal :
- Cuadernos de Administración (01203592)
- Publication Type :
- Academic Journal
- Accession number :
- 97305572