ArticlePloS one2026
An alternative strategy for balancing profit maximization and risk reduction.
Article in PloS one, 2026. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Not yet cited in PubMed.
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Abstract
Portfolio diversification is a central theme in modern investment theory. We revisit the classic return-risk trade-off and propose an alternative objective [Formula: see text] that balances higher expected returns with a direct penalty on portfolio volatility via the inverse standard deviation. This objective belongs to the axiomatic class of mean-variance preferences (as formalised by [1] for additively separable forms) and admits tractable solutions, including a closed-form characterisation in the two-asset case. In rolling out-of-sample backtests on standard Fama-French equity portfolios with realistic trading costs and long-only constraints, [Formula: see text] delivers statistically significantly lower realised volatility (paired t-test p < 0.01) and shallower maximum drawdowns than the Sharpe-maximising benchmark, while maintaining average performance comparable to Markowitz, equal-weight, and risk-parity strategies. These advantages persist across major stress episodes (GFC, COVID-19, 2022 rate shock) and are robust over a wide range of the trade-off parameter [Formula: see text]. The results position [Formula: see text] as a pragmatic alternative for investors who value smoother wealth paths and robust downside protection.
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