Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008

This paper shows a special situation where a portfolio created based on Tobin’s separation theorem does not match the Markowitz efficient set. Next a review of Markowitz´s portfolio selection theory is offered, followed by a review of Tobin’s separation theorem. Next, these models are used as tools...

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Autores:
José Gabriel Astaiza Gómez
Tipo de recurso:
Fecha de publicación:
2019
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/13979
Acceso en línea:
http://hdl.handle.net/10784/13979
Palabra clave:
portfolio
risk
return
efficient set
riskless asset
JEL Classification
G11
C61
portafolio
riesgo
rendimiento
frontera eficiente
activo sin riesgo
Clasificación JEL G11
C61
Rights
License
Copyright © 2012 José Gabriel Astaiza Gómez
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spelling Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees04/12/20122019-10-04T14:14:08Z04/12/20122019-10-04T14:14:08Z2256-43221692-0279http://hdl.handle.net/10784/13979This paper shows a special situation where a portfolio created based on Tobin’s separation theorem does not match the Markowitz efficient set. Next a review of Markowitz´s portfolio selection theory is offered, followed by a review of Tobin’s separation theorem. Next, these models are used as tools for the individual investor with data on the Colombian stock market of the first half of 2008. Finally, the conclusions are shown. It is important to emphasize that the objective of this paper is not to make predictions upon expected returns, variances and covariances of these returns, nor to suggest an optimal portfolio for an investor with a particular utility function, but to expose a concrete scenario in which Tobin´s theorem leads to a portfolio located outside Markowitz´s efficient set.El artículo muestra una situación especial en donde el portafolio surgido del teorema de la separación de Tobin no se encuentra en la frontera eficiente de Markowitz. El desarrollo del mismo inicia con una revisión del modelo de selección de carteras de Harry Markowitz seguido del teorema de la separación de Tobin. A continuación, se hace uso de los modelos como herramientas para el inversionista individual, con datos sobre el mercado accionario colombiano del primer semestre de 2008. Finalmente se muestran las conclusiones. Es importante enfatizar que el objetivo del artículo no es hacer predicciones sobre los rendimientos esperados, varianzas o covarianzas de los mismos rendimientos, ni sugerir un portafolio óptimo para un inversionista con una función de utilidad particular, sino mostrar un escenario concreto en el que el teorema de la separación de Tobin conlleva a un portafolio ubicado por fuera de la frontera eficiente.text/htmlspaUniversidad EAFIThttp://publicaciones.eafit.edu.co/index.php/administer/article/view/1732http://publicaciones.eafit.edu.co/index.php/administer/article/view/1732Copyright © 2012 José Gabriel Astaiza GómezAcceso abiertohttp://purl.org/coar/access_right/c_abf2instname:Universidad EAFITreponame:Repositorio Institucional Universidad EAFITAD-minister: No 21 (2012)Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008El teorema de la separación de Tobin: información del primer semestre de 2008 del mercado accionario colombianoarticleinfo:eu-repo/semantics/articlepublishedVersioninfo:eu-repo/semantics/publishedVersionArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1portfolioriskreturnefficient setriskless assetJEL ClassificationG11C61portafolioriesgorendimientofrontera eficienteactivo sin riesgoClasificación JEL G11C61José Gabriel Astaiza GómezDirector de Relaciones Empresariales de la Institución Universitaria Tecnológica de ComfacaucaAD-minister21135154ORIGINALEl teorema de la separación de Tobin información del primer semestre de 2008 del mercado accionario colombiano.pdfEl teorema de la separación de Tobin información del primer semestre de 2008 del mercado accionario colombiano.pdfTexto completo PDFapplication/pdf690315https://repository.eafit.edu.co/bitstreams/1d8446e0-1450-4acb-9037-c9602125386a/downloadbb82519a485269f357eedf3f569cad29MD52articulo.htmlarticulo.htmlTexto completo HTMLtext/html374https://repository.eafit.edu.co/bitstreams/c0a7ab76-4d41-4083-aecb-05d8c1e5be30/download42ceddcd95c52eeded6ca1a1bd23ef4cMD53THUMBNAILminiatura-administer.jpgminiatura-administer.jpgimage/jpeg8755https://repository.eafit.edu.co/bitstreams/702db39a-b6b4-463f-b30e-ff19b2e947f0/download87c28d32b620f3408b1c70a3c505fbd8MD5110784/13979oai:repository.eafit.edu.co:10784/139792019-12-03 10:16:48.691open.accesshttps://repository.eafit.edu.coRepositorio Institucional Universidad EAFITrepositorio@eafit.edu.co
dc.title.eng.fl_str_mv Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008
dc.title.spa.fl_str_mv El teorema de la separación de Tobin: información del primer semestre de 2008 del mercado accionario colombiano
title Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008
spellingShingle Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008
portfolio
risk
return
efficient set
riskless asset
JEL Classification
G11
C61
portafolio
riesgo
rendimiento
frontera eficiente
activo sin riesgo
Clasificación JEL G11
C61
title_short Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008
title_full Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008
title_fullStr Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008
title_full_unstemmed Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008
title_sort Tobin’s Separation Theorem: Information from the Colombian Stock Market for the First Half of 2008
dc.creator.fl_str_mv José Gabriel Astaiza Gómez
dc.contributor.author.spa.fl_str_mv José Gabriel Astaiza Gómez
dc.contributor.affiliation.spa.fl_str_mv Director de Relaciones Empresariales de la Institución Universitaria Tecnológica de Comfacauca
dc.subject.keyword.eng.fl_str_mv portfolio
risk
return
efficient set
riskless asset
JEL Classification
G11
C61
topic portfolio
risk
return
efficient set
riskless asset
JEL Classification
G11
C61
portafolio
riesgo
rendimiento
frontera eficiente
activo sin riesgo
Clasificación JEL G11
C61
dc.subject.keyword.spa.fl_str_mv portafolio
riesgo
rendimiento
frontera eficiente
activo sin riesgo
Clasificación JEL G11
C61
description This paper shows a special situation where a portfolio created based on Tobin’s separation theorem does not match the Markowitz efficient set. Next a review of Markowitz´s portfolio selection theory is offered, followed by a review of Tobin’s separation theorem. Next, these models are used as tools for the individual investor with data on the Colombian stock market of the first half of 2008. Finally, the conclusions are shown. It is important to emphasize that the objective of this paper is not to make predictions upon expected returns, variances and covariances of these returns, nor to suggest an optimal portfolio for an investor with a particular utility function, but to expose a concrete scenario in which Tobin´s theorem leads to a portfolio located outside Markowitz´s efficient set.
publishDate 2019
dc.date.issued.none.fl_str_mv 04/12/2012
dc.date.available.none.fl_str_mv 2019-10-04T14:14:08Z
dc.date.accessioned.none.fl_str_mv 2019-10-04T14:14:08Z
dc.date.none.fl_str_mv 04/12/2012
dc.type.eng.fl_str_mv article
info:eu-repo/semantics/article
publishedVersion
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http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.local.spa.fl_str_mv Artículo
status_str publishedVersion
dc.identifier.issn.none.fl_str_mv 2256-4322
1692-0279
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10784/13979
identifier_str_mv 2256-4322
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url http://hdl.handle.net/10784/13979
dc.language.iso.spa.fl_str_mv spa
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dc.relation.isversionof.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/administer/article/view/1732
dc.relation.uri.none.fl_str_mv http://publicaciones.eafit.edu.co/index.php/administer/article/view/1732
dc.rights.eng.fl_str_mv Copyright © 2012 José Gabriel Astaiza Gómez
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.local.spa.fl_str_mv Acceso abierto
rights_invalid_str_mv Copyright © 2012 José Gabriel Astaiza Gómez
Acceso abierto
http://purl.org/coar/access_right/c_abf2
dc.format.none.fl_str_mv text/html
dc.coverage.spatial.eng.fl_str_mv Medellín de: Lat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degrees Long: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.publisher.spa.fl_str_mv Universidad EAFIT
dc.source.none.fl_str_mv instname:Universidad EAFIT
reponame:Repositorio Institucional Universidad EAFIT
dc.source.spa.fl_str_mv AD-minister: No 21 (2012)
instname_str Universidad EAFIT
institution Universidad EAFIT
reponame_str Repositorio Institucional Universidad EAFIT
collection Repositorio Institucional Universidad EAFIT
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