Performance of risk-based portfolios under different market conditions: Evidence from India

被引：2
作者：
Sharma, Prateek [1 ]
Vipul [1 ]
机构：
[1] Indian Inst Management, 215,Fac Block,Near Sitapur Rd, Lucknow 226013, Uttar Pradesh, India
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2015年 / 34卷
关键词：
Risk-based portfolios; Most diversified portfolio; Equal risk contribution; Minimum variance portfolio; Sharpe ratio; India;
D O I：
10.1016/j.ribaf.2015.03.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study evaluates the performance of risk-based portfolios under different market conditions. We compare four strategies, namely, the equally weighted portfolio (EW), the global minimum variance portfolio (GMV), the most diversified portfolio (MDP) and the equal risk contribution portfolio (ERC). No single strategy consistently dominates the others, under different market conditions. As expected, the GMV has the least downside risk. Although there is no clear winner among the risk-based portfolios, there is evidence that they generally outperform the market capitalization based portfolio. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：397 / 411
页数：15
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