Best Weighting Scheme for a Stock Portfolio?
February 22, 2022 - Strategic Allocation
What is the overall best way to weight stock portfolios? In their February 2022 paper entitled “Weighting for the Right One: Weighting Scheme Design for Systematic Equity Portfolios”, Wei Dai, Namiko Saito and Gigi Wang compare eight stock portfolio weighting schemes frequently used in systematic strategies, five that ignore prices and three that do not,… Keep Reading