The efficient market inefficiency of capitalization–weighted stock portfolios

  title={The efficient market inefficiency of capitalization–weighted stock portfolios},
  author={Robert A. Haugen and Nardin L. Baker},
35 A s of the end of 1990, the largest 200 prehensive cap-weighted portfolios occupy positions defined-benefit pension plans had indexed a combined total of approximately $200 billion to capitalization-weighted stock portfolios, such as the Wilshire 5000. The sponsors of these plans presumably return. E: believe this to be an efficient investment, in the inside the efficient set. In this context, theory directs us to manage risk in seeking out investment portfolios with the lowest possible… 

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Foundations of Finasce

  • New York: Basic Books,
  • 1976