“Modern” and “Post-Modern”? Portfolio Theory and performance of Mexican stock market sectorial indexes
DOI:
https://doi.org/10.29201/peipn.v17i34.78Keywords:
Modern Portfolio Theory, Post-Modern Portfolio Theory, portfolio management, risk management, portfolio performanceAbstract
This paper shows an analysis of the risk and performance of some indexes used by Bolsa Mexicana de Valores to capture the behavior of the market and some economic activity sectors. The analysis is carried out based in metrics posited by the so called Modern and Post-Modern Portfolio Theory. Such metrics were also used to appraisse optimal portfolios under both approaches. The results suggest that the metrics posed by the Post-Modern Portfolio Theory can be useful to improve the measurement, analysis and appraissal of the risk and performance of assests and/or portfolios investments carried on the Mexican market exchange.
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