Performance of Functionally Generated Portfolios
In this chapter we analyze the simulated behavior of several functionally generated portfolios in the U.S. stock market. The portfolios we consider are the entropy-weighted portfolio of Definition 2.3.3, the D p -weighted portfolio of Examples 3.4.4 and 4.3.5, and the large-stock and small-stock portfolios from Example 4.3.2. We also look at the relative performance of the biggest stock in the market, discussed in Example 4.3.1.
KeywordsTrading Cost Equity Market Sharpe Ratio Market Portfolio Relative Capitalization
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