What Is Weight allocation?

In portfolio construction, the weight allocation determines how many percents an individual asset position will make out of the total portfolio.

One of the simplest weight allocation method is “1/Nth” allocation: the asset with the strongest alpha signal receives 1/1th multiplier, the second asset 1/2th. The weightings are then normalised so that all assets make total of 100%.

Read about 1/Nth weight allocation <https://www.r-bloggers.com/2013/06/the-fallacy-of-1n-and-static-weight-allocation>.

See also

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