Deeply Equal-Weighted Subset Portfolios

The high sensitivity of optimized portfolios to estimation errors has prevented their practical application. To mitigate this sensitivity, we propose a new portfolio model called a Deeply Equal-Weighted Subset Portfolio (DEWSP). DEWSP is a subset of top-N ranked assets in an asset universe, the members of which are selected based on the predicted returns from deep learning algorithms and are equally weighted. Herein, we evaluate the performance of DEWSPs of different sizes N in comparison with t...