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.

Objekt anzeigen

• Sprache: Englisch

Verweise und Beziehungen

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

Klassifikation und Themen

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

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Theron, Ludan ; Van Vuuren, Gary
• Ereignis: Veröffentlichung
• (wer): Taylor & Francis
• (wo): Abingdon
• (wann): 2018

Weitere Informationen

• DOI: doi:10.1080/23322039.2018.1427533
• Handle: http://hdl.handle.net/10419/194751