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
Date Written: May 1, 2020
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: Suggested Citation