Resumo

GONZALEZ SANCHEZ, Mariano  e  NAVE PINEDA, JuanM. Are the market indexes efficient portfolios? The Spanish case of IBEX-35. Cuad. Adm. [online]. 2014, vol.27, n.48, pp.183-226. ISSN 0120-3592.

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.

Palavras-chave : Market portfolio; market index; optimization.

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