Resumen

VALDEMAR DE LA TORRE TORRES, Oscar  y  MARTINEZ TORRE ENCISO, María Isabel. Have the IBEX35 and IPC indices been financially efficient definitions of the market portfolio?. Contad. Adm [online]. 2013, vol.58, n.4, pp.223-252. ISSN 0186-1042.

The present paper questions the inancial eficiency of the most used market portfolio proxies in Spain and Mexico (IBEX35 and IPC) in order to determine if these can be considered a proper market portfolio proxy. The paper questions if they can be used as "neutrals", according to Black & Litterman (1992) proposals in portfolio management. For this purpose, two discrete event simulations that use the Markowtiz-Tobin-Sharpe-Linter model (Markowitz, 1987, p.5) are performed with monthly data of the stock members of these indices in a February 2001 to December 2010 time window. The results are compared by using the Sharpe ratio (Sharpe, 1966) and show that the equilibrium assumptions in the market do not hold, leading to conclude that these market portfolio proxies are ineficient.

Palabras llave : optimization techniques; simulation modeling; portfolio selection; asset pricing.

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