Multiple testing procedures controlling the false discovery rate (FDR) are increasingly used in the context of genome wide association studies (GWAS), and weighted multiple testing procedures that incorporate covariate information are efficient to improve the power to detect associations. In this work, we evaluate some recent weighted multiple testing procedures in the specific context of GWAS through a simulation study. We also present a new efficient procedure called wBHa that prioritizes the detection of genetic variants with low minor allele frequencies while maximizing the overall detection power. The results indicate good performance of our procedure compared to other weighted multiple testing procedures. In particular, in all simulated settings, wBHa tends to outperform other procedures in detecting rare variants while maintaining good overall power. The use of the different procedures is illustrated with a real dataset.