Puerta, Andrés; Laniado, Henry - In: Lecturas de Economía (2010) 73, pp. 243-273
This article analyzes the behavior of the portfolio selection strategy that assigns to each asset a weight inversely proportional to individual risk (PIR) in comparison with the classical mean-variance (MV), minimum variance (MINVAR) and 1/N strategies. In doing so and applied to the Colombian...