Template-type: ReDIF-Paper 1.0
Author-Name: Víctor M. Adame-García
Author-Email: vadame@ucm.es
Author-Workplace-Name: Facultad de Ciencias Económicas y Empresariales. Universidad Complutemse de Madrid.
Author-Name: Fernando Fernández-Rodríguez
Author-Email: fernando.fernandez@ulpgc.es
Author-Workplace-Name: University of Las Palmas de Gran Canaria
Author-Name: Simón Sosvilla-Rivero
Author-Email: sosvilla@ccee.ucm.es
Author-Person: pch286
Author-Workplace-Name: Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa). Universidad Complutemse de Madrid.
Author-Workplace-Homepage:
 https://www.ucm.es/fundamentos-analisis-economico2
Title: Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification 
	in a pre- and post- crisis context
Abstract: In this paper, 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. We evaluate the out-of-sample performance of 15 strategies for asset allocation in the Ibex 35 
	index, 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 shortsale constraints, it is the only strategy that renders a Sharpe ratio statistically different to Ibex 35 index in the 
	2001-2007 and 2008-2014 periods.
Classification-JEL: C61, G11.
Keywords: Portfolio optimization; Portfolio diversification; Markowitz Analysis; Naive 1/N strategy; Ibex35.
Keywords: Mercados financieros; Ibex 35; Análisis Markowitz; Portafolio.
Length: 32 pages
Revision-Date: 2015-06
Number: 2015-07 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1507.txt
File-URL: https://eprints.ucm.es/id/eprint/29533/1/1507.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1507