Overperformance of equal-weight portfolio and portfolio management

Research Project

Project/Area Number	25K05166
Research Category	Grant-in-Aid for Scientific Research (C)
Allocation Type	Multi-year Fund
Section	一般
Review Section	Basic Section 07060:Money and finance-related
Research Institution	Hiroshima University
Principal Investigator	TING HIANANN 広島大学, AI・データイノベーション教育研究センター, 教授 (00871493)
Co-Investigator(Kenkyū-buntansha)	山田宏広島大学, 人間社会科学研究科(社), 教授 (90292078)
Project Period (FY)	2025-04-01 – 2028-03-31
Project Status	Granted (Fiscal Year 2025)
Budget Amount *help	¥4,680,000 (Direct Cost: ¥3,600,000、Indirect Cost: ¥1,080,000) Fiscal Year 2027: ¥1,560,000 (Direct Cost: ¥1,200,000、Indirect Cost: ¥360,000) Fiscal Year 2026: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000) Fiscal Year 2025: ¥1,690,000 (Direct Cost: ¥1,300,000、Indirect Cost: ¥390,000)
Keywords	portfolio management
Outline of Research at the Start	This research theoretically justifies the equal-weight (1/N) portfolio by incorporating a regularization term into Markowitz mean-variance optimization. Empirically, the study tests this framework using US nd Japanese stock data, applying shrinkage estimators for reliable covariance estimation.