Search Results - subject:"equi-weighted index"

Simulation of Diversified Portfolios in a Continuous Financial Market

Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2010

focuses on the equi-weighted index and the market portfolio. The paper illustrates that the equally weighted portfolio … index. Significant outperformance in the long run of the market capitalization weighted portfolio by the equi-weighted index … is documented for different market models. Under the multi-asset minimal market model the equi-weighted index outperforms …

Persistent link: https://www.econbiz.de/10008492107

Approximating the Numeraire Portfolio by Naive Diversification

Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2010

Estimation theory has shown, due to the limited estimation window available for real asset data, the sample based Markowitz mean-variance approach produces unreliable weights which fluctuate substantially over time. This paper proposes an alternate approach to portfolio optimization, being the...

Persistent link: https://www.econbiz.de/10008483767