Can Advanced Portfolio Optimization Beat Equal Weighting? Evidence from Indian Large-Cap Walk-Forward Backtests
A 2026 paper by Dabi and Dabi on portfolio optimization in equities: the abstract mentions a Sharpe ratio, an information ratio, excess returns, drawdowns, a benchmark, an out-of-sample test and transaction costs and leaves out multiple testing and the size of the universe.
“The study is motivated by a practical research question: do shrinkage covariance and risk-based portfolio construction methods improve historical risk-adjusted performance relative to a simple equal-weight benchmark in Nifty 50-style portfolios?”
AssetEquitiesindices
StrategyPortfolio optimizationlow-volatility anomaly
GeographyIndia
ClaimSharpe ratioinformation ratio
Also stated: Price and volume, benchmark, out-of-sample test, costs
Missing from abstract: multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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