Relevant bibliographies by topics / Equally weighted portfolio

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  4. Conference papers

Academic literature on the topic 'Equally weighted portfolio'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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Journal articles on the topic "Equally weighted portfolio"

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Damani, Akshay, and Nandip Vaidya. "Is an equally weighted global investment portfolio the outperformer?" Corporate Ownership and Control 20, no. 2 (2023): 113–26. http://dx.doi.org/10.22495/cocv20i2art9.

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The paper builds, in the first part, a benchmark index based on the optimal mix of indices for the global asset classes of equity, fixed-income securities, real estate, commodities, and currencies including cryptocurrencies so as to maximize the ex-post Sharpe ratio. The objective of the first part is to help investors across the globe compare portfolio performance with a uniform benchmark. In the second part, a comparison of portfolio performances is based on five methods of portfolio construction viz; 1) historical returns and variance matrix used along with Markowitz model to discover optim
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Kumar, Ronald Ravinesh, and Peter Josef Stauvermann. "Portfolios under Different Methods and Scenarios: A Case of Fiji’s South Pacific Stock Exchange." Journal of Risk and Financial Management 15, no. 12 (2022): 549. http://dx.doi.org/10.3390/jrfm15120549.

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In this study, we analyze portfolio performance under different methods and scenarios for the small island economy of Fiji. In addition to documenting the historical performance and the smallness of the stock market, the study looks at the possibility of opting for an equally weighted (naïve) portfolio against market and minimum variance portfolios. To this end, we extract monthly stock price data of 17/19 listed companies from August 2019 to July 2022 and invoke different approaches to develop portfolios under different scenarios. We consider the mean-variance, minimum variance, semi-variance
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Krueger, Thomas, and Mark Wrolstad. "Portfolio Allocation Using Free Cash Flows and Other Methods." Journal of Finance Issues 11, no. 2 (2013): 58–67. http://dx.doi.org/10.58886/jfi.v11i2.2518.

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There are many ways to allocate money invested in shares of common stock within one’s portfolio. The traditional and best known allocation methods are price-weighting, market capitalization-weighting, and equal-weighting. Of these three traditional allocation methods, we find that equally-weighted portfolios performed the best. More recently, attention has been focused on “fundamental weightings” which use financial statement items such as sales, total assets, net income, leverage, EBIT, and free cash flows to weight stock portfolio investments. Using a well-known set of stocks, this research
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Patel, Ritesh, Muhammad Zubair Chishti, and Sun-Yong Choi. "Connectedness Between Music Tokens and Major Asset Classes: Implications for Hedging and Investments Strategies." American Business Review 28, no. 1 (2025): 223–71. https://doi.org/10.37625/abr.28.1.223-271.

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This study examines the dynamic connectedness between four music tokens, that is, Audius, CEEK, ROCKI and Viberate and major asset classes, namely, equity, bond, crude oil, Gold, Bitcoin and USD. We used daily data from December 23, 2020, to August 30, 2024. We measure the connectedness using the quantile VAR method and the wavelet quantile correlation approach. The quantile VAR method reveals that assets play receiver and transmitter roles. However, the assets hold a weak relationship, indicating the opportunity for portfolio diversification. Further, the results of wavelet quantile correlati
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Górska, Anna, and Monika Krawiec. "The Stability of Component Assets in Optimal Portfolios of Stock and Commodity Indexes." Zeszyty Naukowe SGGW w Warszawie - Problemy Rolnictwa Światowego 16, no. 4 (2016): 33–43. http://dx.doi.org/10.22630/prs.2016.16.4.96.

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The turbulences in financial markets increased the interest in commodity investments as an alternative asset class for potential risk diversification. A plethora of past and present studies documents the diversification benefits achieved by adding commodities to the traditional security portfolios. Most of commodity diversification papers ignore the stability of component assets in the optimal portfolio. This paper examines both, the stability and performance of optimal Markowitz portfolios over time. The portfolios are composed of commodity and stock indexes. Their risk and returns are compar
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Rubesam, Alexandre, and André Lomonaco Beltrame. "Carteiras de Variância Mínima no Brasil." Brazilian Review of Finance 11, no. 1 (2013): 81. http://dx.doi.org/10.12660/rbfin.v11n1.2013.5830.

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We investigate minimum variance portfolios in the Brazilian equity market using different methods to estimate the covariance matrix, from the simple model of using the sample covariance to multivariate GARCH models. We compare the performance of the minimum variance portfolios to those of the following benchmarks: (i) the IBOVESPA equity index, (ii) an equally-weighted portfolio, (iii) the maximum Sharpe ratio portfolio and (iv) the maximum growth portfolio. Our results show that the minimum variance portfolio has higher returns with lower risk compared to the benchmarks. We also consider long
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Tušek, Marta, Davor Zoričić, Denis Dolinar, Zrinka Lovretin Golubić, and Zrinka Orlović. "Estimation of an efficient benchmark portfolio for the Eastern European market." Ekonomski vjesnik 37, no. 1 (2024): 1–9. http://dx.doi.org/10.51680/ev.37.1.1.

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Purpose: This paper explores the mean-variance inefficiency of cap-weighted indices based on the CECE index as a benchmark. Methodology: For the period from March 2014 to September 2021, several proxies of efficient portfo-lios were estimated: the Global Minimum Variance (GMV) portfolio, the Maximum Sharpe Ratio (MSR) portfolio and the portfolio with equal weights of constituents (EW). Diversification of strategies was also considered by analyzing the performance of a portfolio consisting of GMV and MSR that were weighted equally. Based on monthly data, 90 out-of-sample estimations were made f
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Husnain, Muhammad, Arshad Hassan, and Eric Lamarque. "Shrinking the Variance-Covariance Matrix: Simpler is Better." LAHORE JOURNAL OF ECONOMICS 21, no. 1 (2016): 1–21. http://dx.doi.org/10.35536/lje.2016.v21.i1.a1.

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This study focuses on the estimation of the covariance matrix as an input to portfolio optimization. We compare 12 covariance estimators across four categories – conventional methods, factor models, portfolios of estimators and the shrinkage approach – applied to five emerging Asian economies (India, Indonesia, Pakistan, the Philippines and Thailand). We find that, in terms of the root mean square error and risk profile of minimum variance portfolios, investors gain no additional benefit from using the more complex shrinkage covariance estimators over the simpler, equally weighted portfolio of
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Kantarelis, Demetri. "Impact of Correlation on Risky Portfolio Choice, Diversification, and Performance." Advances in Social Sciences Research Journal 12, no. 01 (2025): 114–23. https://doi.org/10.14738/assrj.1201.18173.

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Using Modern Portfolio Theory, applied on risky (stock) portfolios with real price data, it is shown that lower average portfolio correlation enables the investor to improve diversification and, consequently, experience lower portfolio risk as well as reach higher wealth indifference curves. Based on low and high correlation risky investments, results are calculated for Equally Weighted, Minimum Risk, Maximum Expected Return, and Maximum Sharpe Ratio portfolios. Long position performance is measured in terms of Expected Portfolio Return, Portfolio Standard Deviation, and Sharpe Ratio and, with
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Saghir, Ahsen, Syed Muhammad Ali Tirmizi, Ch Kamran Mahmood, Nauman Iqbal Mirza, and Naeem Khan. "ON PORTFOLIO OPTIMIZATION: ARE THERE FINANCIAL GAINS OF USING ALTERNATIVE COVARIANCE METHODS?" Humanities & Social Sciences Reviews 9, no. 3 (2021): 1113–23. http://dx.doi.org/10.18510/hssr.2021.93110.

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Purpose: The study evaluates the performance of alternative variance-covariance estimators as a fundamental ingredient to portfolio optimization.
 Methodology: The study estimates eleven covariance matrices on the data of Pakistan stock exchange's non-financial sector firms covering the period from July 2006 to June 2020. The accuracy and efficiency of covariance estimators are assessed through two evaluation parameters: root mean square error and minimum variance portfolios (risk behavior).
 Main findings: Empirical findings based on evaluation parameters suggest that more complex c
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Dissertations / Theses on the topic "Equally weighted portfolio"

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Sari, Martina <1996&gt. "ESG integration and financial performance. Investment analysis of ESG portfolios compared with traditional ones utilising equally weighted and mean-variance methods." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19033.

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Nowadays, Environmental, Social, and Governance (ESG) factors have gained significant attention from investors, consequently playing a key role in investment decision-making. Several studies have shown the importance of ESG factors, documenting that portfolio management strategies that integrate ESG criteria perform better compared to other traditional approaches based solely on considering financial value. Since ESG integration is a relatively new concept that is still undergoing development by legislators and financial services companies, this study aims to present the main elements that d
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Ferreira, Pedro Miguel Barreirão. "Diversification and portfolio selection methods." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2227.

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Mestrado em Finanças<br>This paper studies several portfolio selection methods in order to achieve higher returns and lower risk than the market. The main objective of this paper is to conclude if it is possible to achieve higher returns and lower risk than the market using only daily close stocks price data. It is important however, to know how the number of assets affects the risk of portfolio (benefits of diversification). Therefore, in the early stage, the impact of the introduction of stocks in the portfolio in terms of risk will be analyzed in order to choose a minimum number of stocks t
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Martins, Luís Pedro Rosa. "A eficiência nas Carteiras de Markowitz, Variância Mínima e Naïve aplicada ao índice italiano." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/8198.

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Mestrado em Finanças<br>O objectivo deste trabalho é verificar as possíveis vantagens da gestão activa face à gestão passiva de uma carteira de acções com a mesma composição do índice de acções italiano FTSE MIB. A gestão passiva baseia-se no método Naïve (1/N), onde a composição da carteira inclui todos os activos do indice com proporções iguais. A gestão activa baseia-se no método de Markowitz que tem como objectivo maximizar a rendibilidade tendo definido um determinado nível de risco, ou minimizar o risco tendo em conta um nível de rendibilidade esperada. Também é utilizado o método da var
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Sousa, Júnior Gabriel Faria de. "Active versus passive management : the case of BOVESPA." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/11647.

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Mestrado em Finanças<br>O principal objetivo deste trabalho é analisar alguns modelos subjacente à gestão de carteiras ativa e passiva e qual seria seu impacto sobre a escolha de uma determinada carteira constituída por ações que estão integrados no índice BOVESPA, maior mercado bolsista do Brasil. A gestão passiva é baseada numa carteira que visa replicar o comportamento do Índice BOVESPA, tendo como base os preços históricos do índice e no método naïve (1/N), no qual composição da carteira inclui todos os ativos do índice com as mesmas proporções. A gestão ativa baseia-se no método de Mark
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Blomkvist, Oscar. "Smart Beta - index weighting." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168745.

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This study is a thesis ending a 120 credit masters program in Mathematics with specialization Financial Mathematics and Mathematical Statistics at the Royal Institute of Technology (KTH). The subject of Smart beta is defined and studied in an index fund context. The portfolio weighting schemes tested are: equally weighting, maximum Sharpe ratio, maximum diversification, and fundamental weighting using P/E-ratios. The outcome of the strategies is measured in performance (accumulated return), risk, and cost of trading, along with measures of the proportions of different assets in the portfolio.
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Monteiro, Pedro Matoso Coimbra Sacramento. "A Gestão de Carteira de Acções aplicada ao mercado espanhol." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/10211.

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Mestrado em Finanças<br>A presente dissertação teve como objetivo principal analisar e comparar a gestão ativa e passiva de um determinado portfolio constituído por ações do Índice Bolsista Espanhol (IBEX 35). Na gestão ativa utilizaram-se dois modelos: uma carteira de ações determinada através do modelo de otimização de Markowitz, e uma carteira de ações resultante do modelo de variância mínima. Na gestão passiva recorreu-se a uma carteira de ações com pesos iguais. O período de tempo considerado para o efeito foi de 10 anos, de 1997 a 2006. A gestão ativa do portfolio, com base nos dois mo
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Tseng, Yi-Chiang, and 曾逸江. "Portfolio Construction Methodology with the Equally-Weighted Risk Contribution Strategy─Evidence from Taiwan Weighted Index." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/67526429587632665222.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>100<br>Even though the framework of mean-variance analysis is convincing, in practice, investors encounter serious drawbacks. Understandably, a more stable and rather simple method to make investment decisions without depending on the expected returns would obviously be preferred by some investors. In this study, we adopt a newly proposed equally-weighted risk contribution portfolio (ERC), without the assumption of expected returns, in order to observe its risk and return, as well as the timing of use compared to different benchmarks, the Taiwan 50 index (TWN50) an
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Book chapters on the topic "Equally weighted portfolio"

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Villapando, Kianna Denise C., Rene Estember, Michael N. Young, et al. "Portfolio Selection: Micro and Macro Analysis of the Philippine Stock Market Using AHP and FTS-MC." In Contemporary Financial Management. Institute for Local Self-Government Maribor, 2023. http://dx.doi.org/10.4335/2023.3.17.

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We have seen rapid development in financial stocks over the past decades, but variabilities in share price behavior remain due to micro and macroeconomic variables. This study examined the Philippine stock market from micro and macro perspectives in performing the following tasks: (1) Identify the top-performing industry and consider its top companies as an investment pool using AHP – analytic hierarchy processes; (2) Forecast future stock prices based on historical behavior utilizing FTS–MC – Fuzzy Time Series Markov Chain Model; (3) Present a portfolio selection framework considering an EWP
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Veliu, Denis. "The Risk Parity Approach Applied to Agricultural Commodities." In Advances in Business Strategy and Competitive Advantage. IGI Global, 2017. http://dx.doi.org/10.4018/978-1-5225-2107-5.ch013.

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The recent years were hard for commodities, with most suffering of high losses. The uncertainty of the financial markets after the 2008 crisis has pushed in the interest of finding new way of diversification. With the Risk Parity or Equally Weighted Risk Contribution strategy, Maillard, Roncalli, and Teiletche (2008) suggested a method that maximize the diversification. These authors have applied this strategy to the volatility (standard deviation). In this chapter, the author describes how to apply Risk Parity to the Conditional Value at Risk using historical data estimation. Passing to CVaR,
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Manjare, Sagar O., and Surekha Ningule. "Review of Cryptocurrencies as Financial Assets." In Fintech, and Blockchains Trends in The Financial Sector. BENTHAM SCIENCE PUBLISHERS, 2024. http://dx.doi.org/10.2174/9789815256833124010012.

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A cryptocurrency is a type of digital money used as a medium of exchange over a computer network that is not always backed and maintained by a country's central bank or government. Since the introduction of Bitcoin in 2009, hundreds of different “cryptocurrencies” have been created and accepted for a variety of transactions in top online marketplaces, the “sharing economy,” as well as more conventional retailers, producers, charities, and political organisations. This paper will take a thorough look at the qualities of cryptocurrencies as financial assets. We talk about how crypto generates va
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Singal, Vijay. "The Weekend Effect." In Beyond The Random Walk. Oxford University PressNew York, NY, 2003. http://dx.doi.org/10.1093/oso/9780195158670.003.0003.

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Abstract The weekend effect refers to relatively large returns on Fridays compared to those on Mondays. Whereas the Friday returns exceed 0.20%, the Monday returns are close to zero or negative resulting in a weekend effect for an equally weighted index of 0.34 percent. On the other hand, the weekend effect for a value-weighted index has fallen to zero during the 1990s. Short sellers may be responsible for the weekend effect because they do not want to keep speculative positions open around the weekend. Accordingly, they close the short positions by buying back on Fridays and reopen them by sh
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Michaud, Richard O., and Robert O. Michaud. "Linear Constrained Mv Efficiency." In Efficient Asset Management. Oxford University PressNew York, NY, 2008. http://dx.doi.org/10.1093/oso/9780195331912.003.0005.

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Abstract Chapter 4 addressed unbounded MV optimization. Elegant analytical solutions are available in this case. In investment practice, however, MV optimized portfolios include linear (inequality and equality) constrained asset weights. Linear constrained, not unbounded, MV optimization is typically the framework of choice for asset management in practice. Linear inequality constraints reflect the fact that asset managers have practical limits to shorting and leverage of investments. When linear inequality constraints are included, the analytical methods associated with unbounded MV optimizat
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Günaydin, A. Doruk. "Predicting Equity Returns in Developed Markets." In Recent Applications of Financial Risk Modelling and Portfolio Management. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-5083-0.ch004.

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This chapter examines the relation between various firm-specific variables and the cross-section of equity returns in 26 developed countries. Univariate portfolio analyses using equal-weighted returns show that low beta, book-to-market equity, and momentum analysis are also priced in the cross-section of developed market returns, whereas short-term reversal and downside beta manifest themselves in the opposite direction. Univariate portfolio analysis based on value-weighted returns reveal that the predictive power of book-to-market equity and short-term reversal is driven by small stocks. Mult
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Liu, Wei, James Kolari, and Seppo Pynnonen. "The CAPM is Not Dead: It Works Better for Average Daily Returns." In Investment Strategies - New Advances and Challenges [Working Title]. IntechOpen, 2023. http://dx.doi.org/10.5772/intechopen.111932.

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In a series of papers, Fama and French showed that the CAPM failed to explain U.S. stock returns. Subsequently, they declared the CAPM dead. In its place, they proposed a number of different factors to better explain stock returns. Given that Sharpe received the Nobel Prize in Economics for the CAPM, their conclusion that it is dead is worth further investigation. This paper revisits cross-sectional tests of the Capital Asset Pricing Model (CAPM). To mitigate problems with noise in realized stock return series, we use a smoothed data series of average daily returns per month. Based on U.S. sto
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Conference papers on the topic "Equally weighted portfolio"

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Deng, Xue, and Rong-jun Li. "Some Research on Value Range of Equal Weight Portfolio Risk." In 2008 International Seminar on Future BioMedical Information Engineering (FBIE). IEEE, 2008. http://dx.doi.org/10.1109/fbie.2008.27.

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