Precision weighted portfolio
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A precision weighted portfolio is a portfolio in which the weights are defined as wi=(1/σ2i)/Σi(1/σ2i). This will provide the global minimum-variance portfolio given a certain set of assets in which one can invest.
Other types of weighted portfolios include
- equally-weighted portfolio
- capitalization-weighted portfolio
- price-weighted portfolio
- optimal portfolio (for which the Sharpe ratio is highest)
