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

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.

MoreLess

Year of publication:	2015-01-26
Authors:	Zhan, Hannah Cheng Juan ; Rea, William ; Rea, Alethea
Institutions:	Department of Economics and Finance, College of Business and Economics
Subject:	Graph theory \| hierarchical clustering trees \| minimum spanning trees \| neighbor-Net \| portfolio selection \| diversification

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	40 pages
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011150332