The maximum diversification investment strategy: A portfolio performance comparison

Artikel

The efficacy of four different portfolio allocation strategies is evaluated according to their absolute returns during different economic conditions over a period of 10 years. A comparison is drawn between the Most Diversified portfolio (MD) and three alternatives; a Minimum Variance portfolio, an Equally-Weighted portfolio and a Tangent (or Maximum Sharpe ratio) portfolio. The aim is to assess portfolio performance using cumulative returns, the Sharpe ratio and the daily vola- tilities of each portfolio. The four asset allocation methods are governed by multiple constraints. Although previous work has shown that MD portfolios exhibit greater diversification and a higher Sharpe ratio than other investment strategies, this was not found using developed market index data.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-16 ; Abingdon: Taylor & Francis

Classification and Topics

• Classification: Wirtschaft ; Model Evaluation, Validation, and Selection ; Portfolio Choice; Investment Decisions
• Subject: maximum diversification ; portfolio risk ; optimal portfolio selection ; performance

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Theron, Ludan ; Van Vuuren, Gary
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2018

Further information

• DOI: doi:10.1080/23322039.2018.1427533
• Handle: http://hdl.handle.net/10419/194751
• Last update: 10.03.2025, 11:44 AM CET