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Probably the most popular horse race study for portfolio strategies is

Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?, with DeMiguel, L. Garlappi and R. Uppal. The Review of Financial Studies 22(5), 1915--1953 (2009)

In their Paper DeMiguel et al. use several datasets as well as simulated data and compare different portfolio strategies with several performance measures, for example: Sharpe Ratio, CE, Mean, Turnover, Return-Loss...

Obviously the drawback of such strategies can always be found in their 'relatively' arbitrary choice of the datasets, the evaluation methods etc. I would like to learn other approaches (purely theoretical ones are also welcome) in literature to evaluate the goodness of a portfolio strategy. I really think that is important to improve the evaluation process in order to justify all these fancy allocation methods that are proposed in literature. What papers did you come across that propose different performance measures than DeMiguel?

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An Empirical Analysis of Alternative Portfolio Selection Criteria and Risk-Reward Optimisation for Long-Run Investors: An Empirical Analysis look into alternative risk and reward specifications for portfolio optimisation, from a purely-empirical point of view. (Disclosure: I am one of the authors.) We looked particularly into such risk/reward functions that allow for an asymmetric treatment of returns (i.e. losses and gains are treated differently). We found that alternative risk functions often performed better than their symmetric counterparts (e.g. objective functions based on partial moments worked better than central moments such as variance). We later replicated the results on a different dataset in Risk-Reward Ratio Optimisation (Revisited).

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