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

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  • Hannah Cheng Juan Zhan
  • William Rea
  • Alethea Rea

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.

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  • Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015. "A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones," Papers 1512.01905, arXiv.org.
    • Handle: RePEc:arx:papers:1512.01905
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    Cited by:

    1. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2019. "Smart network based portfolios," Papers 1907.01274, arXiv.org.
    2. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2022. "Smart network based portfolios," Annals of Operations Research, Springer, vol. 316(2), pages 1519-1541, September.

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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