GET THE APP

..

Journal of Business & Financial Affairs

ISSN: 2167-0234

Open Access

An Investigation of Various Weighting Schemes for Portfolios

Abstract

Tamiz M* and Azmi RA

This paper investigates methods for finding the proportion of funds (weights) invested in each asset in a portfolio that has been set up based on the decision maker’s choice of assets from a given set. These methods include, equal, ranked and return-based weights as well as Sharpe, Treynor, Markowitz and Goal Programming. The results show that using an optimization methodology produces a more reasonable portfolio with respect to risk and return. This is followed by Sharpe and Treynor methodologies. The weighting schemes experimented in this paper would enable investors to systematically establish the preferred weights for their investment portfolios.

PDF

Share this article

Google Scholar citation report
Citations: 1726

Journal of Business & Financial Affairs received 1726 citations as per Google Scholar report

Journal of Business & Financial Affairs peer review process verified at publons

Indexed In

 
arrow_upward arrow_upward