Revolutionizing Portfolio Selection: Survival of the Fittest Approach Dominates Market
The article suggests using a committee approach for selecting investment portfolios. By combining different strategies, covariance matrices, and risk types, the researchers create 250 optimal portfolios. They then use a scoring system to pick the best portfolio for the next period. Results show that this method is effective and easy to use, with the selected combination portfolio outperforming others in various datasets.