Portfolio Selection Using Portfolio Committees

Tsungwu Ho (2020) Portfolio Selection using Portfolio Committees. Journal of Financial Data Science, 2(2).

24 Pages Posted: 18 Aug 2020

See all articles by Tsung-Wu Ho

Tsung-Wu Ho

National Taiwan Normal University, College of Management

Date Written: May 1, 2020

Abstract

Instead of data-mining methods, the author proposes a portfolio committee approach to portfolio selection. Because each optimal portfolio is a combination of three basic elements: strategy, covariance matrix, and risk type; therefore, the author first augments the combination to 250 optimal portfolios at each estimation period, and then the author 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 justifies the committee approach to portfolio selection is not only effective, but also easy to implement.

Keywords: Augmented Tangency Portfolios, Financial Learning, Portfolio Selection, Risk Diversification, Risk Optimal

JEL Classification: C13,C51,G11

Suggested Citation

Ho, Tsung-Wu, Portfolio Selection Using Portfolio Committees (May 1, 2020). Tsungwu Ho (2020) Portfolio Selection using Portfolio Committees. Journal of Financial Data Science, 2(2)., Available at SSRN: https://ssrn.com/abstract=3653595 or http://dx.doi.org/10.2139/ssrn.3653595

Tsung-Wu Ho (Contact Author)

National Taiwan Normal University, College of Management ( email )

No. 31, Shi-Da Road
Taipei, 10610
Taiwan
+886(2)7734-5624 (Phone)

HOME PAGE: http://web.ntnu.edu.tw/~tsungwu/

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