Why has the equal weight portfolio underperformed and what can we do about it?
Author:
Affiliation:
1. Department of Actuarial Science, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
2. Department of Mathematics and Applied Mathematics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1889020
Reference22 articles.
1. A comparison between capitalization-weighted and equally weighted indexes in the European equity market
2. Diversification Returns and Asset Contributions
3. Volatility Harvesting: Why Does Diversifyingand Rebalancing Create Portfolio Growth?
4. Volatility Harvesting in Theory and Practice
5. What Does Rebalancing Really Achieve?
Cited by 11 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Signature-based portfolio allocation: a network approach;Applied Network Science;2024-09-03
2. Application of a Robust Maximum Diversified Portfolio to a Small Economy’s Stock Market: An Application to Fiji’s South Pacific Stock Exchange;Journal of Risk and Financial Management;2024-09-02
3. Asset allocation models for big tech stocks: The importance of lower partial moments and short length windows;Borsa Istanbul Review;2024-09
4. Adaptive Models;Advances in Finance, Accounting, and Economics;2024-08-30
5. International Portfolio Diversification Benefits: An Empirical Investigation of the 28 European Stock Markets During the Period 2014–2024;South East European Journal of Economics and Business;2024-06-01
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3