Performance of risk-based portfolios under different market conditions: Evidence from India

Prateek Sharma and Vipul,

Research in International Business and Finance, 2015, vol. 34, issue C, 397-411

Abstract: This study evaluates the performance of risk-based portfolios under different market conditions. We compare four strategies, namely, the equally weighted portfolio (EW), the global minimum variance portfolio (GMV), the most diversified portfolio (MDP) and the equal risk contribution portfolio (ERC). No single strategy consistently dominates the others, under different market conditions. As expected, the GMV has the least downside risk. Although there is no clear winner among the risk-based portfolios, there is evidence that they generally outperform the market capitalization based portfolio.

Keywords: Risk-based portfolios; Most diversified portfolio; Equal risk contribution; Minimum variance portfolio; Sharpe ratio; India (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:34:y:2015:i:c:p:397-411

DOI: 10.1016/j.ribaf.2015.03.006

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