EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1512.01905 Latest version (application/pdf)

Related works:
Working Paper: A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1512.01905

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2023-12-20
Handle: RePEc:arx:papers:1512.01905