Resumo

PUERTA, Andrés  e  LANIADO, Henry. Optimal Strategy Design for Portfolio Selection: an Inverse Risk Weighting Analysis. Lect. Econ. [online]. 2010, n.73, pp.243-273. ISSN 0120-2596.

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 stock market, this study performs out-of-sample estimates and provides conditions under which PIR weights lead to less riskier strategies than the 1/N strategy. In conclusion, the evidence suggests that the PIR strategy outperforms classical strategies in terms of profitability indicators, risk, Sharpe ratio, Turnover (cost) and Turnover (stability).

Palavras-chave : Investment portfolios; securities; profitability; risk; inverse risk weighting.

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