IDEAS home Printed from https://ideas.repec.org/a/spr/annopr/v353y2025i1d10.1007_s10479-023-05465-5.html
   My bibliography  Save this article

Median-adaptive portfolios: a minimum criteria approach to asset allocation

Author

Listed:
  • Foteini Kyriazi

    (Agricultural University of Athens)

  • Sophia Tarani

    (National and Kapodistrian University of Athens)

  • Dimitrios D. Thomakos

    (National and Kapodistrian University of Athens)

Abstract

We propose a new class of adaptive portfolios for asset allocation, based on a one-parameter variation of the equally weighted portfolio and the use of the median-ranked asset. Our methodological contribution offers a simple way of performing, static or optimized, allocation of assets in portfolios of any dimension, thus easily circumventing the “curse of dimensionality”. Our results show that, even for a static selection of the parameter that defines our allocation, we obtain improved performance compared to the equally weighted benchmark in all the standard metrics. For the case of an optimized selection of the parameter we offer results from minimum variance optimization, that do require the estimation of the covariance matrix, but our approach can easily be adapted to other kinds of portfolio objective functions. This new class of portfolios can easily be added to, as a complement or substitute, to any existing portfolio allocation method.

Suggested Citation

  • Foteini Kyriazi & Sophia Tarani & Dimitrios D. Thomakos, 2025. "Median-adaptive portfolios: a minimum criteria approach to asset allocation," Annals of Operations Research, Springer, vol. 353(1), pages 377-400, October.
    • Handle: RePEc:spr:annopr:v:353:y:2025:i:1:d:10.1007_s10479-023-05465-5
    DOI: 10.1007/s10479-023-05465-5
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10479-023-05465-5
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10479-023-05465-5?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:353:y:2025:i:1:d:10.1007_s10479-023-05465-5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.