A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones

Hannah Cheng Juan Zhan, William Rea and Alethea Rea

Papers from arXiv.org

Abstract: We compare three network portfolio selection methods; hierarchical clustering trees, minimum spanning trees and neighbor-Nets, with random and industry group selection methods on twelve years of data from the 30 Dow Jones Industrial Average stocks from 2001 to 2013 for very small private investor sized portfolios. We find that the three network methods perform on par with randomly selected portfolios.

Date: 2015-12
New Economics Papers: this item is included in nep-fmk
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Working Paper: A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1512.01905

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