TY - JOUR
T1 - Portfolio Selection Using Portfolio Committees
AU - Ho, Tsung Wu
N1 - Publisher Copyright:
© 2020 With Intelligence LLC.
PY - 2020/6/1
Y1 - 2020/6/1
N2 - 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.
AB - 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.
KW - Portfolio theory
KW - portfolio construction
UR - http://www.scopus.com/inward/record.url?scp=85166331928&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85166331928&partnerID=8YFLogxK
U2 - 10.3905/jfds.2020.1.033
DO - 10.3905/jfds.2020.1.033
M3 - Article
AN - SCOPUS:85166331928
SN - 2640-3943
VL - 2
SP - 104
EP - 127
JO - Journal of Financial Data Science
JF - Journal of Financial Data Science
IS - 3
ER -