Portfolio Selection Using Portfolio Committees

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