O. Prokopenko

Business-Cycle-Conditioned Multi-Asset Portfolio Optimization: A Comparative Risk–Return Assessment of Sharpe, Sortino, and Omega Methods

Heightened macroeconomic volatility and repeated shifts in growth, inflation, and interest-rate regimes have increased the importance of portfolio strategies that adapt asset allocation to changing business-cycle conditions while balancing return and risk. Previous research shows that asset-class performance varies acr...