Nakagawa, Kei; Imamura, Mitsuyoshi; Yoshida, Kenichi - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-14
In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on … mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods … such as minimum variance (MV), risk parity (RP), and maximum diversification (MD). It is well known that the performance of …