Revolutionizing Portfolio Selection: Ordering Information Boosts Returns Dramatically
The article introduces a new method for selecting optimal investment portfolios using ordering information instead of expected returns. This ordering information can come from various sources like company characteristics or past prices. By considering preferences and risks, the method creates portfolios that outperform traditional approaches. The approach is flexible and works well with different types of assets and sorting criteria. Both real and simulated data show that this method leads to significantly better portfolio construction results.