Amb motiu del tancament d'estiu, la validació de documents es reprendrà a partir del 28 d'agost de 2026. Disculpeu les molèsties.
Con motivo del cierre de verano, la validación de documentos se reanudará a partir del 28 de agosto de 2026. Disculpad las molestias
Due to the summer closure, document validation will resume starting August 28, 2026. We apologize for any inconvenience.

Files

587984.pdf (600.24 KB)

Document type

Article

Version

Published version

Publication date

2010-03-31

All rights reserved

Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/52383

Market Index Biases and Minimum Risk Indices

Journal Title

Authors

Director/Tutor

Journal ISSN

Volume Title

Related resource

Abstract

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI

Subject

Mercat financer, Risc de crèdit, Anàlisi financera, Matemàtica financera, Mercat de futurs, Avaluació del risc

Subject (English)

Financial market, Credit risk, Investment analysis, Business mathematics, Futures market, Risk assessment

Citation

Collections

Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citation

TORRA PORRAS, Salvador and ANDREU CORBATÓN, Jordi. Market Index Biases and Minimum Risk Indices. WSEAS Transactions on Business and Economics. 2010. Vol. 7, num. 1, pags. 33-58. ISSN 1109-9526. [consulted: 14 of August of 2026]. Available at: https://hdl.handle.net/2445/52383

Export metadata

JSON - METS

Share record