During the years of the financial crisis, when investors were experiencing the greatest degree of market volatility, there was a widespread increase in risk-aversion. It is not surprising that this produced an increased interest in research into (and/or the realization of) investment solutions aimed at risk-reduction. The empirical investigation carried out in this article in the strategic asset allocation framework shows that the most diversified portfolio strategy, compared to the global minimum variance strategy, requires the investor to have a greater resistance not only to returns volatility, but also to asymmetric risk (drawdown, downside risk…).
