S.J. Shah

Rebalancing Frequency Dominates Risk-Proxy Choice: A Comparison of Mean–Variance, MAD, and Quantile-Constrained Portfolios of U.S. Sector ETFs

Practitioners choosing among risk measures for portfolio construction face a real question: does the choice of risk proxy—variance, mean absolute deviation (MAD), interquartile range (IQR), or a wider central-quantile measure—actually change portfolio outcomes, or does it get swa...