In this paper we analyze investment portfolios of Chilean market, using the average model variance proposed by Markowitz, particularly using the variance-covariance matrix of unconditional and conditional, where the latter is estimated through GARCH models. Then, we evaluate the performance of these portfolios using as a reference (benchmark) a market portfolio given by the general index of share prices (IGPA) of Chilean market.

In this paper we analyze investment portfolios of Chilean market, using the average model variance proposed by Markowitz, particularly using the variance-covariance matrix of unconditional and conditional, where the latter is estimated through GARCH models. Then, we evaluate the performance of these portfolios using as a reference (benchmark) a market portfolio given by the general index of share prices (IGPA) of Chilean market.