Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-27
-variance, utility maximization, and minimum turbulence portfolios, based on beta-adjusted (CAPM-based) returns. The different portfolios … returns, the beta-adjusted returns indicate that an equally weighted portfolio can yield relatively higher expected returns … beta-adjusted returns, may simply opt for 1/N (näive) portfolios as a diversification strategy while realizing …