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

Author

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  • Sharma, Prateek
  • Vipul,

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.

Suggested Citation

  • Sharma, Prateek & Vipul,, 2015. "Performance of risk-based portfolios under different market conditions: Evidence from India," Research in International Business and Finance, Elsevier, vol. 34(C), pages 397-411.
  • Handle: RePEc:eee:riibaf:v:34:y:2015:i:c:p:397-411
    DOI: 10.1016/j.ribaf.2015.03.006
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    References listed on IDEAS

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    More about this item

    Keywords

    Risk-based portfolios; Most diversified portfolio; Equal risk contribution; Minimum variance portfolio; Sharpe ratio; India;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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