Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?

By Yuliya Plyakha, Raman Uppal, Grigory Vilkov. 2015

95 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

Citations in the corpus

• Improving Mean Variance Optimization through Sparse Hedging Restrictions (2015, unknown): “The high Sharpe ratio of the equal-weighted portfolio is likely attributable to the size effect and the short-term reversal effect (see Plyakha, Uppal, and Vilkov (2012)).”