Kumar, Ronald Ravinesh; Stauvermann, Peter - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-27
possibility of opting for an equally weighted (naïve) portfolio against market and minimum variance portfolios. To this end, we … 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 presented in …