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q-fin.PM2016
Tukey's transformational ladder for portfolio management
Philip Ernst, James Thompson, Yinsen Miao
Over the past half-century, the empirical finance community has produced vast literature on the advantages of the equally weighted S\&P 500 portfolio as well as the often overlooke…
q-fin.PM2016★ 2 cited
Portfolio Selection: The Power of Equal Weight
Philip Ernst, James Thompson, Yinsen Miao
We empirically show the superiority of the equally weighted S\&P 500 portfolio over Sharpe's market capitalization weighted S\&P 500 portfolio. We proceed to consider the MaxMedian…