Selection Confidence Sets for Equally Weighted Portfolios

Given a universe of N assets, investors often form equally weighted portfolios (EWPs) by selecting subsets of assets. EWPs are simple, robust, and competitive out-of-sample, yet the uncertainty about which subset truly performs best is largely ignored. Traditional approaches typically rely on a single selected portfolio, but this fails to consider alternative investment strategies that may perform just as well when accounting for statistical uncertainty. To address this selection uncertainty, we...