Gestión eficiente de carteras: Modelo de Markowitz y el Ibex-35

Gestión eficiente de carteras: Modelo de Markowitz y el Ibex-35

  • Pablo Perelló-Fons,y Salvador Climent-Serrano ,

Abstract

The main objective of this work is to build, as precisely as possible, an efficient limit according to Harry Markowitz model, to know the model in depth and compare the results to the different stock market index in order to analyze the effect of an efficient diversification on the performance and the risk of a portfolio. To do this, we will base on historical data from the IBEX-35 so we will apply to them a model with the help of different optimization computing programmes. We will see that it is posible to create portfolios with a lower volatility than the equities that form the market, as it is possible that equities with negative returns are part of efficient portfolios and also analyze the composition of portfolios to see that the important in an assets are not their unique characteristics but their contribution to the portfolio, that is determined by their relationship with the rest of equities.

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