The Success of AdaBoost and Its Application in Portfolio Management

Equal-weighted portfolios are one of the most important strategies in portfolio management. They are portfolios with weights equally distributed across the selected securities in the long and/or short positions. In academic research, numerous studies have suggested that equal-weighted portfolios have a better out-of-sample performance than other portfolios (e.g., Jobson and Korkie 1981; James 2003; DeMiguel et al. 2007). Michaud (1989) and DeMiguel et al. (2007) argued that, the equal-weighted strategies do not suffer from the estimation error of the covariance matrix, which is vulnerable to outliers (Tu and Zhou, 2011). In industry, equal-weighted portfolios are popular across portfolio management in practice, particularly in the hedge funds. The MSCI has issued many equal-weighted indexes, which are "some of the oldest and best-known factor strategies that have aimed to identify specific characteristics of stocks generating excess return"