Tukey's Transformational Ladder for Portfolio Management

Over the past half century, portfolio managers have carefully documented the advantages of the equally weighted S\&P 500 portfolio as well as the often overlooked disadvantages of the market capitalization weighted S\&P 500 portfolio (see \cite{Bloom}, \cite{Uppal}, \cite{Jacobs}, \cite{Treynor}). However, rather surprisingly, portfolio allocation based on the seven simple transformations... Show more