Are there any papers doing as broad as possible comparison of various portfolio theories performance?

For example, compare specific theories:

  1. MPT
  2. Risk parity
  3. Black-Litterman
  4. etc

or compare models:

  1. Mean variance optimization
  2. Risk allocation
  3. Bayesian probabilities
  4. etc

I understand it is impossible to compare ALL theories and models, but it would be interesting to see somebody comparing at least more than two theories (which seems to be the usual case for academia).



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