293
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Portfolios in the Ibex 35 before and after the Global Financial Crisis

, &

References

  • Agarwal, V., and N. Y. Naik. 2004. “Risks and Portfolio Decisions Involving Hedge Funds.” Review of Financial Studies 17 (1): 63–98. doi:10.1093/rfs/hhg044.
  • Ahmad, W., S. Sehgal, and N. R. Bhanumurthy. 2013. “Eurozone Crisis and BRIICKS Stock Markets: Contagion or Market Interdependence?” Economic Modelling 33: 209–225. doi:10.1016/j.econmod.2013.04.009.
  • Alexander, G. J., and A. M. Baptista. 2004. “A Comparison of Var and Cvar Constraints on Portfolio Selection with the Mean-Variance Model.” Management Science 50 (9): 1261–1273. doi:10.1287/mnsc.1040.0201.
  • Allen, D., M. McAleer, S. Peiris, and A. Singh 2014b. Hedge Fund Portfolio Diversification Strategies across the GFC. Tinbergen Institute Discussion Paper Series, No. TI 14-151/III.
  • Allen, D., M. McAleer, R. Powell, and A. Singh. 2014a. European Market Portfolio Diversification Strategies across the GFC. Tinbergen Institute Discussion Paper Series, No. TI 14-134/III.
  • Andersson, F., H. Mausser, D. Rosen, and S. Uryasev. 2001. “Credit Risk Optimization with Conditional Value-At-Risk Criterion.” Mathematical Programming 89 (2): 273–291. doi:10.1007/PL00011399.
  • Artzner, P., F. Delbaen, J. Eber, and D. Heath. 1997. “Thinking Coherently.” Risk 10: 68–71.
  • Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. 1999. “Coherent Measures of Risk.” Mathematical Finance 9 (3): 203–228. doi:10.1111/mafi.1999.9.issue-3.
  • Benartzi, S., and R. H. Thaler. 2001. “Naive Diversification Strategies in Defined Contribution Saving Plans.” American Economic Review 91 (1): 79–98. doi:10.1257/aer.91.1.79.
  • Boubaker, H., and N. Sghaier. 2013. “Portfolio Optimization in the Presence of Dependent Financial Returns with Long Memory: A Copula Based Approach.” Journal of Banking and Finance 37 (2): 361–377. doi:10.1016/j.jbankfin.2012.09.006.
  • Brennan, M. J., and W. N. Torous. 1999. “Individual Decision Making and Investor Welfare.” Economic Notes 28 (2): 119–143. doi:10.1111/ecno.1999.28.issue-2.
  • Chan, L. K., J. Karceski, and J. Lakonishok. 1999. “On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model.” Review of Financial Studies 12 (5): 937–974. doi:10.1093/rfs/12.5.937.
  • Charnes, A., and W. W. Cooper. 1962. “Programming with Linear Fractional Functionals.” Naval Research Logistics Quarterly 9 (3–4): 181–186. doi:10.1002/(ISSN)1931-9193.
  • Chekhlov, A., S. Uryasev, and M. Zabarankin. 2005. “Drawdown Measure in Portfolio Optimization.” International Journal of Theoretical and Applied Finance 8 (01): 13–58. doi:10.1142/S0219024905002767.
  • Chekhlov, A., S. P. Uryasev, and M. Zabarankin 2000. Portfolio Optimization with Drawdown Constraints. Research Report 2000-5. Gainesville: Department of Industrial and Systems Engineering, University of Florida.
  • Chopra, V. K. 1993. “Improving Optimization.” The Journal of Investing 2 (3): 51–59. doi:10.3905/joi.2.3.51.
  • Choueifaty, Y., and Y. Coignard. 2008. “Toward Maximum Diversification.” The Journal of Portfolio Management 35 (1): 40–51. doi:10.3905/JPM.2008.35.1.40.
  • Choueifaty, Y., T. Froidure, and J. Reynier. 2013. “Properties of the Most Diversified Portfolio.” Journal of Investment Strategies 2 (2): 49–70.
  • Clayton, D. G. 1978. “A Model for Association in Bivariate Life Tables and Its Application in Epidemiological Studies of Familial Tendency in Chronic Disease Incidence.” Biometrika 65 (1): 141–151. doi:10.1093/biomet/65.1.141.
  • DeMiguel, V., L. Garlappi, and R. Uppal. 2009. “Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?” Review of Financial Studies 22 (5): 1915–1953. doi:10.1093/rfs/hhm075.
  • DeMiguel, V., and F. J. Nogales. 2009. “Portfolio Selection with Robust Estimation.” Operations Research 57 (3): 560–577. doi:10.1287/opre.1080.0566.
  • Dinkelbach, W. 1967. “On Nonlinear Fractional Programming.” Management Science 13 (7): 492–498. doi:10.1287/mnsc.13.7.492.
  • Fernandez-Perez, A., F. Fernández-Rodríguez, and S. Sosvilla-Rivero. 2014. “The Term Structure of Interest Rates as Predictor of Stock Returns: Evidence for the IBEX 35 during a Bear Market.” International Review of Economics and Finance 31: 21–33. doi:10.1016/j.iref.2013.12.004.
  • Fischer, M. J., and M. Dörflinger 2006. A Note on A Non-Parametric Tail Dependence Estimator. Diskussionspapiere, No. 76/2006. Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie.
  • Frahm, G., M. Junker, and R. Schmidt. 2005. “Estimating the Tail-Dependence Coefficient: Properties and Pitfalls.” Insurance: Mathematics and Economics 37 (1): 80–100.
  • Frost, P. A., and J. E. Savarino. 1988. “For Better Performance: Constrain Portfolio Weights.” The Journal of Portfolio Management 15 (1): 29–34. doi:10.3905/jpm.1988.409181.
  • Gaivoronski, A. A., and G. Pflug. 2005. “Value-At-Risk in Portfolio Optimization: Properties and Computational Approach.” Journal of Risk 7 (2): 1–31.
  • Genest, C., and A.-C. Favre. 2007. “Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask.” Journal of Hydrologic Engineering 12 (4): 347–368. doi:10.1061/(ASCE)1084-0699(2007)12:4(347).
  • Giamouridis, D., and I. D. Vrontos. 2007. “Hedge Fund Portfolio Construction: A Comparison of Static and Dynamic Approaches.” Journal of Banking and Finance 31 (1): 199–217. doi:10.1016/j.jbankfin.2006.01.002.
  • Harris, R. D., and M. Mazibas. 2013. “Dynamic Hedge Fund Portfolio Construction: A Semi-Parametric Approach.” Journal of Banking and Finance 37 (1): 139–149. doi:10.1016/j.jbankfin.2012.08.017.
  • Hirschman, A. O. 1964. “The Paternity of an Index.” American Economic Review 54 (5): 761–762.
  • Hofert, M., and M. Scherer. 2011. “CDO Pricing with Nested Archimedean Copulas.” Quantitative Finance 11 (5): 775–787. doi:10.1080/14697680903508479.
  • Huberman, G., and W. Jiang. 2006. “Offering versus Choice in 401 (K) Plans: Equity Exposure and Number of Funds.” The Journal of Finance 61 (2): 763–801. doi:10.1111/jofi.2006.61.issue-2.
  • Jagannathan, R., and T. Ma. 2003. “Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps.” The Journal of Finance 58 (4): 1651–1683. doi:10.1111/jofi.2003.58.issue-4.
  • Jobson, J. D., and B. M. Korkie. 1981. “Performance Hypothesis Testing with the Sharpe and Treynor Measures.” The Journal of Finance 36 (4): 889–908. doi:10.1111/j.1540-6261.1981.tb04891.x.
  • Jorion, P. 1991. “Bayesian and CAPM Estimators of the Means: Implications for Portfolio Selection.” Journal of Banking and Finance 15 (3): 717–727. doi:10.1016/0378-4266(91)90094-3.
  • Kirby, C., and B. Ostdiek. 2012. “It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification.” Journal of Financial and Quantitative Analysis 47 (02): 437–467. doi:10.1017/S0022109012000117.
  • Krokhmal, P., J. Palmquist, and S. Uryasev. 2002. “Portfolio Optimization with Conditional Value-At-Risk Objective and Constraints.” Journal of Risk 4: 43–68.
  • Kuutan, E. 2007. “Portfolio Optimization Using Conditional Value-At-Risk and Conditional Drawdown-At-Risk.” Doctoral diss., University of Toronto.
  • Lintner, J. 1965. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” The Review of Economics and Statistics 47 (1): 13–37. doi:10.2307/1924119.
  • Maillard, S., T. Roncalli, and J. Teïletche. 2010. “The Properties of Equally Weighted Risk Contribution Portfolios.” The Journal of Portfolio Management 36 (4): 60–70. doi:10.3905/jpm.2010.36.4.060.
  • Markowitz, H. 1952. “Portfolio Selection.” The Journal of Finance 7 (1): 77–91.
  • Markowitz, H. 1959. Portfolio Selection: Efficient Diversification of Investments. New York: Basil Blackwall.
  • Matallín, J. C., and A. Fernández-Izquierdo. 2003. “Passive Timing Effect in Portfolio Management.” Applied Economics 35 (17): 1829–1837. doi:10.1080/0003684032000150404.
  • Matallin, J. C., and L. Nieto. 2002. “Mutual Funds as an Alternative to Direct Stock Investment: A Cointegration Approach.” Applied Financial Economics 12 (10): 743–750. doi:10.1080/09603100110038693.
  • Memmel, C. 2003. “Performance Hypothesis Testing with the Sharpe Ratio: The Case of Hedge Funds.” Finance Research Letters 10 (4): 196–208.
  • Miralles-Quirós, J. L., M. M. Miralles-Quirós, and J. Daza-Izquierdo. 2015. “Intraday Patterns and Trading Strategies in the Spanish Stock Market.” Applied Economics 47 (1): 88–99. doi:10.1080/00036846.2014.962224.
  • Moldovan, I. 2011. “Stock Markets Correlation: Before and during the Crisis Analysis.” Theoretical and Applied Economics 8 (8): 111–122.
  • Morgan, J. P. 1994. RiskMetrics, Technical Document. New York: Morgan Guaranty Trust Company.
  • Mossin, J. 1966. “Equilibrium in a Capital Asset Market.” Econometrica 34 (4): 768–783. doi:10.2307/1910098.
  • Pástor, Ľ. 2000. “Portfolio Selection and Asset Pricing Models.” The Journal of Finance 55 (1): 179–223. doi:10.1111/jofi.2000.55.issue-1.
  • Pástor, Ľ., and R. F. Stambaugh. 2000. “Comparing Asset Pricing Models: An Investment Perspective.” Journal of Financial Economics 56 (3): 335–381. doi:10.1016/S0304-405X(00)00044-1.
  • Pfaff, B. 2013. Financial Risk Modelling and Portfolio Optimization with R. Chichester: John Wiley & Sons.
  • Pflug, G. C. 2000. “Some Remarks on the Value-At-Risk and the Conditional Value-At-Risk.” In Probabilistic Constrained Optimization, edited by Uryasev, S. P., 272–281. New York: Springer US.
  • Qian, E. 2005. Risk Parity Portfolios: Efficient Portfolios through True Diversification. Boston, MA: Panagora Asset Management.
  • Qian, E. 2006. “On the Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up.” Journal of Investment Management 4 (4): 1–11.
  • Qian, E. 2011. “Risk Parity and Diversification.” The Journal of Investing 20 (1): 119–127. doi:10.3905/joi.2011.20.1.119.
  • Quaranta, A. G., and A. Zaffaroni. 2008. “Robust Optimization of Conditional Value at Risk and Portfolio Selection.” Journal of Banking and Finance 32 (10): 2046–2056. doi:10.1016/j.jbankfin.2007.12.025.
  • Rockafellar, R. T., and S. Uryasev. 2000. “Optimization of Conditional Value-At-Risk.” Journal of Risk 2: 21–42.
  • Rockafellar, R. T., and S. Uryasev. 2002. “Conditional Value-At-Risk for General Loss Distributions.” Journal of Banking and Finance 26 (7): 1443–1471. doi:10.1016/S0378-4266(02)00271-6.
  • Rockafellar, R. T., S. Uryasev, and M. Zabarankin. 2006. “Generalized Deviations in Risk Analysis.” Finance and Stochastics 10 (1): 51–74. doi:10.1007/s00780-005-0165-8.
  • Rosillo, R., D. De La Fuente, and J. A. L. Brugos. 2013. “Technical Analysis and the Spanish Stock Exchange: Testing the RSI, MACD, Momentum and Stochastic Rules Using Spanish Market Companies.” Applied Economics 45 (12): 1541–1550. doi:10.1080/00036846.2011.631894.
  • Schmidt, R., and U. Stadtmüller. 2006. “Non-parametric Estimation of Tail Dependence.” Scandinavian Journal of Statistics 33 (2): 307–335. doi:10.1111/j.1467-9469.2005.00483.x.
  • Sharpe, W. F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” The Journal of Finance 19 (3): 425–442.
  • Sharpe, W. F. 1994. “The Sharpe Ratio.” The Journal of Portfolio Management 21 (1): 49–58. doi:10.3905/jpm.1994.409501.
  • Sklar, M. 1959. “Fonctions de répartition à n dimensions et leurs marges.” Université Paris 8: 229–231.
  • Stoyanov, S. V., S. T. Rachev, and F. J. Fabozzi. 2007. “Optimal Financial Portfolios.” Applied Mathematical Finance 14 (5): 401–436. doi:10.1080/13504860701255292.
  • Tsao, C.-Y. 2010. “Portfolio Selection Based on the Mean-Var Efficient Frontier.” Quantitative Finance 10 (8): 931–945. doi:10.1080/14697681003652514.
  • Tu, J., and G. Zhou. 2011. “Markowitz Meets Talmud: A Combination of Sophisticated and Naive Diversification Strategies.” Journal of Financial Economics 99 (1): 204–215. doi:10.1016/j.jfineco.2010.08.013.
  • Unger, A. 2014. The Use of Risk Budgets in Portfolio Optimization. Bremen: Springer Gabler.
  • Xing, X., J. Hu, and Y. Yang. 2014. “Robust Minimum Variance Portfolio with L-Infinity Constraints.” Journal of Banking and Finance 46: 107–117. doi:10.1016/j.jbankfin.2014.05.004.
  • Young, M. R. 1998. “A Minimax Portfolio Selection Rule with Linear Programming Solution.” Management Science 44 (5): 673–683. doi:10.1287/mnsc.44.5.673.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.