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Int. J. Financial Stud. 2016, 4(4), 18; doi:10.3390/ijfs4040018

Stock Selection as a Problem in Phylogenetics—Evidence from the ASX

1
Department of Economics and Finance, University of Canterbury, Christchurch 8140, New Zealand
2
Data Analysis Australia, Perth 6009, Australia
*
Author to whom correspondence should be addressed.
Academic Editor: Nicholas Apergis
Received: 17 March 2016 / Revised: 16 September 2016 / Accepted: 20 September 2016 / Published: 29 September 2016
View Full-Text   |   Download PDF [1483 KB, uploaded 29 September 2016]   |  

Abstract

We report the results of fifteen sets of portfolio selection simulations using stocks in the ASX200 index for the period May 2000 to December 2013. We investigated five portfolio selection methods, random selection, selection within industrial groups, and three based on neighbor-Net phylogenetic networks. We report that using random, industrial groups, or neighbor-Net phylogenetic networks alone rarely produced statistically significant reduction in risk, though in four out of the five cases in which it did so, the portfolios selected using the phylogenetic networks had the lowest risk. However, we report that when using the neighbor-Net phylogenetic networks in combination with industry group selection that substantial reductions in portfolio return spread were achieved. View Full-Text
Keywords: stock selection; ASX200; neighbor-Net networks; portfolio risk stock selection; ASX200; neighbor-Net networks; portfolio risk
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MDPI and ACS Style

Zhan, C.J.; Rea, W.; Rea, A. Stock Selection as a Problem in Phylogenetics—Evidence from the ASX. Int. J. Financial Stud. 2016, 4, 18.

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Int. J. Financial Stud. EISSN 2227-7072 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
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