Puerta, Andrés; Laniado, Henry - In: Lecturas de Economía (2010) 73, pp. 243-273
proportional to individual risk (PIR) in comparison with the classical mean-variance (MV), minimum variance (MINVAR) and 1/N … that the PIR strategy outperforms classical strategies in terms of profitability indicators, risk, Sharpe ratio, Turnover …
