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arxiv: 1512.01905 · v1 · pith:7XNDEKKInew · submitted 2015-12-07 · 💱 q-fin.PM · q-fin.ST

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

classification 💱 q-fin.PM q-fin.ST
keywords methodsnetworkselectionthreejonesportfolioportfoliostrees
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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.

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