Portfolios in the Ibex 35 before and after the Global Financial Crisis
| Autor: | Víctor M. Adame, Fernando Fernández-Rodríguez, Simon Sosvilla-Rivero |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Economics and Econometrics
050208 finance Application portfolio management Financial economics 05 social sciences Diversification (finance) Asset allocation Rate of return on a portfolio Replicating portfolio 0502 economics and business Financial crisis Economics Portfolio 050207 economics Portfolio optimization |
| Zdroj: | Applied Economics. 48:3826-3847 |
| ISSN: | 1466-4283 0003-6846 |
| DOI: | 10.1080/00036846.2016.1145352 |
| Popis: | 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 sugg... |
| Databáze: | OpenAIRE |
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