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

Hannah Cheng Juan Zhan, William Rea and Alethea Rea

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

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.

Keywords: Graph theory; hierarchical clustering trees; minimum spanning trees; neighbor-Net; portfolio selection; diversification (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2015-01-26
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Citations: View citations in EconPapers (2)

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Working Paper: A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:15/02

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