Abstract
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 language | English |
|---|---|
| Pages (from-to) | 104-127 |
| Number of pages | 24 |
| Journal | Journal of Financial Data Science |
| Volume | 2 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2020 Jun 1 |
| Externally published | Yes |
Keywords
- 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