This paper assesses and compares the observed returns in the market portfolio with those obtained
by an optimization strategy model that maximizes the Sharpe ratio, based on daily returns from the
Colombian stock market data. Twelve recommended biannual portfolios are obtained for the period
2007-2012, which are then compared against real stock from the Colombian stock index. The results
show the superiority of the strategy of the designed algorithm over the returns obtained in the market
portfolio. This shows the inefficiency of the market portfolio and the potential of applying this strategy
in other contexts and the possibility of adopting the model in real investment decisions.
