Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-27
possibility of opting for an equally weighted (näive) portfolio against market and minimum variance portfolios. To this … approaches to develop portfolios under different scenarios. We consider the mean-variance, minimum variance, semi …-variance, utility maximization, and minimum turbulence portfolios, based on beta-adjusted (CAPM-based) returns. The different portfolios …