Preprint
Sep 2026
Active Portfolio Management in Concentrated Equity Markets
The equal-weighted portfolio is a passive, rule-based strategy that has historically been difficult to outperform, delivering higher returns than the capitalization-weighted"market"benchmark across many markets and periods. Stochastic portfolio theory (SPT) reveals that this relative performance is regime dependent, wi...
Brian Ceco, Xiao-Fei Shi, Ting-Kam Leonard Wong
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