英文标题：
《Market Efficiency and Growth Optimal Portfolio》
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作者：
Eckhard Platen and Renata Rendek
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最新提交年份：
2017
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英文摘要：
  The paper predicts an Efficient Market Property for the equity market, where stocks, when denominated in units of the growth optimal portfolio (GP), have zero instantaneous expected returns. Well-diversified equity portfolios are shown to approximate the GP, which explains the well-observed good performance of equally weighted portfolios. The proposed hierarchically weighted index (HWI) is shown to be an even better proxy of the GP. It sets weights equal within industrial and geographical groupings of stocks. When using the HWI as proxy of the GP the Efficient Market Property cannot be easily rejected and appears to be very robust.
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中文摘要：
本文预测了股票市场的有效市场属性，当股票以增长最优投资组合（GP）的单位计价时，其瞬时预期收益为零。多元化程度较高的股票投资组合与GP近似，这解释了观察良好的等权重投资组合的良好表现。提出的层次加权指数（HWI）被证明是GP更好的代理。它在股票的行业和地理分组中设定了相等的权重。当使用HWI作为GP的代理时，有效的市场属性不容易被拒绝，并且看起来非常稳健。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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