{
  "abstract": "This study revisits comparative portfolio optimization by extending an established framework from eleven to twenty-one strategies and evaluating them under a common out-of-sample evaluation design. The analysis covers eight asset universes with different degrees of heterogeneity, observed over a common period (2008–2025), and two rebalancing frequencies, using rolling estimation, Ledoit–Wolf covariance shrinkage, hyperparameter calibration, Sharpe ratios in excess of the Treasury bill rate, transaction-cost adjustments, and robustness diagnostics. The expanded framework incorporates established comparators and study-specific extensions, corrects an implementation inconsistency in a previous Second-Order Stochastic Dominance procedure, and clarifies that the Yager z=2 penalty is a reparameterization of Tikhonov regularization on the unit simplex. We also examine the sensitivity of results to risk-aversion calibration and rebalancing frequency. No strategy is uniformly superior across universes. The equally weighted portfolio remains competitive in homogeneous equity universes, whereas several optimization-based strategies achieve higher nominal Sharpe ratios in the heterogeneous multi-asset and commodity universes. In a joint test based on the stationary bootstrap, however, no strategy is better than the equally weighted portfolio in a statistically robust way, and with daily rebalancing the best mean ranks correspond to the risk-parity and equally weighted portfolios. Overall, the findings support a cautious interpretation of nominal rankings and emphasize model specification, calibration, transaction costs, and multiplicity-aware evaluation in portfolio comparisons.",
  "abstract_shown": true,
  "affiliations": [
    "Department of Quantitative Methods, Universidad Loyola Andalucía, 14004 Córdoba, Spain",
    "Department of Computer Languages and Computer Science, Universidad de Málaga, 29071 Málaga, Spain"
  ],
  "article_type": null,
  "arxiv": null,
  "author_total": 2,
  "authors": [
    {
      "affs": [
        0
      ],
      "name": "Jorge Rafael Sarmiento-Laya",
      "orcid": "0009-0003-0694-8169"
    },
    {
      "affs": [
        1
      ],
      "name": "Francisco Fernández-Navarro",
      "orcid": "0000-0002-5599-6170"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/05jz1j80348d3.bib",
  "cited_by": 0,
  "doi": "10.3390/math14213941",
  "fulltext_url": null,
  "id": "05jz1j80348d3",
  "issns": [
    "2227-7390"
  ],
  "landing_url": "https://www.mdpi.com/2227-7390/14/21/3941",
  "language": null,
  "licence": "CC-BY-4.0",
  "licence_label": "CC BY 4.0",
  "licence_source": "article",
  "licence_url": "https://creativecommons.org/licenses/by/4.0/",
  "metadata_licence": null,
  "native_subjects": [
    [
      "openalex",
      "1803|Risk and Portfolio Optimization"
    ]
  ],
  "openalex": "W7224120015",
  "pdf_url": null,
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-28",
  "publisher": "MDPI AG",
  "ris": "https://research.draconitic.com/paper/05jz1j80348d3.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:18:29Z",
      "native_id": "10.3390/math14213941",
      "source": "crossref",
      "url": "https://www.mdpi.com/2227-7390/14/21/3941"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "issn:2227-7390",
      "subfield": "general"
    }
  ],
  "title": "Portfolio Diversification Revisited: An Out-of-Sample Comparison of Twenty-One Strategies Across Asset Universes and Rebalancing Frequencies",
  "title_text": "Portfolio Diversification Revisited: An Out-of-Sample Comparison of Twenty-One Strategies Across Asset Universes and Rebalancing Frequencies",
  "type": "peer-reviewed",
  "updated_at": "2026-10-30T12:18:29Z",
  "url": "https://research.draconitic.com/paper/05jz1j80348d3",
  "venue": "Mathematics",
  "versions": []
}