Empirical application of a strategy The allocation of assets through the Markowitz model that the Sharpe model.

Identifier:  TFG:1332

Handle: https://hdl.handle.net/20.500.11797/TFG1332

Authors:  Amigo Bido, Ignasi; Zurita Garcia de la Flor, Sergio

Abstract:
In our work we have deepened the theories of Markowitz and Sharpe, conducting a study of a series of titles that are quoted on Eurostoxx50. It has begun with a schedule of a temporary horizon followed by the typical calculations of its yields and volatilities happening later to calculate their correlations between them and the market with which they move. For the Sharpe model month after month we had to calculate the specific risk of and the systematic one. We have also explained the reason why we did not want to stay with Markowitz names and we have expanded with Sharpe and we have also explained the reason we do not use Tobin in this study. Once all these previous steps have been completed, we have built a series of portfolios with different risks and returns. We have focused their efficient borders in various ways among them by giving restrictions and using the Solver program integrates to Excel once the borders have been chosen, the optimal portfolio has been chosen for our scenario, to conclude the work we wanted to make a practical application cover to the reality, being the casuistry of an investor with a capital of 500 thousand euros invested on 01/12/2011 and being sold on 12/01/2016. As we do a deeper analysis of the results obtained in both practical cases, both for Markowitz and for Sharpe.