| Title |
An experimental study on diversification in portfolio optimization |
| Authors |
Martínez-Nieto L. , FERNÁNDEZ NAVARRO, FRANCISCO DE ASÍS, CARBONERO RUZ, MARIANO, MONTERO ROMERO, Mª TERESA |
| External publication |
No |
| Means |
Expert Syst. Appl. |
| Scope |
Article |
| Nature |
Científica |
| JCR Quartile |
1 |
| SJR Quartile |
1 |
| JCR Impact |
8.66500 |
| SJR Impact |
2.07000 |
| Web |
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85106308418&doi=10.1016%2fj.eswa.2021.115203&partnerID=40&md5=c791aa830769e2467437769cf0c05ca0 |
| Publication date |
01/01/2021 |
| ISI |
000663582700009 |
| Scopus Id |
2-s2.0-85106308418 |
| DOI |
10.1016/j.eswa.2021.115203 |
| Abstract |
New diversification strategies, along with other naive strategies as 1/N portfolios, have been proposed in the literature as a method for overcoming concentration limitations of the meanvariance model. However, it is not clear whether these strategies outperform the classical meanvariance model in all scenarios. Motivated by these points, this manuscript contributes an experimental study in which 11 diversification and meanvariance strategies are compiled and compared with a complete repository of 10 portfolio time series problems with three different estimation windows (composing a total of 30 datasets) and then evaluated using four performance metrics. Additionally, a novel purely data-driven method for determining the optimal value of the hyper-parameter associated with each approach is also proposed. Unlike results previously found in the literature, the empirical results obtained in this study show that equally weighed models obtain the worst ranking in all evaluation metrics except for the stability index, which is hypothetically due to the hyper-parameter optimization raising the transaction cost debate. © 2021 Elsevier Ltd |
| Keywords |
1/N portfolio; Diversification strategies; Hyper-parameter optimization; Meanvariance portfolio; Out-of-sample performance |
| Universidad Loyola members |
|
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