Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/194751 
Erscheinungsjahr: 
2018
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 6 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2018 [Pages:] 1-16
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
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.
Schlagwörter: 
maximum diversification
portfolio risk
optimal portfolio selection
performance
JEL: 
C52
G11
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