Portfolio Selection Using Portfolio Committees

Tsung Wu Ho*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


The author proposes a committee approach to portfolio selection. Because each optimal portfolio is a combination of three basic elements—strategy, covariance matrix, and risk type—the author first augments the combination to 250 optimal portfolios at each estimation period. The author then defines a score to select the best portfolio to hold in the next period. Survival of the fittest, the superior performance of the combination portfolio, demonstrates that the committee approach to portfolio selection is not only effective but also easy to implement.

Original languageEnglish
Pages (from-to)104-127
Number of pages24
JournalJournal of Financial Data Science
Issue number3
Publication statusPublished - 2020 Jun 1
Externally publishedYes


  • Portfolio theory
  • portfolio construction*

ASJC Scopus subject areas

  • Business and International Management
  • Information Systems
  • Business, Management and Accounting (miscellaneous)
  • Finance
  • Strategy and Management
  • Computational Theory and Mathematics
  • Information Systems and Management
  • Artificial Intelligence


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