And it happened to be a man.

Former Australian ambassador to Israel Dave Sharma will be the Liberal candidate in the Wentworth by-election on October 20 despite the PM's efforts to have a woman preselected.

"You've always got to pick the best candidate and that's what we've been able to do last night," Mr Morrison told reporters while standing beside Mr Sharma at Bronte on Friday.

Mr Turnbull won the seat in 2004 with a margin of five per cent but extended that to 17.75 per cent in 2016.

Mr Morrison doesn't think it will be so clear-cut in mid-October and warned voters his government's one-seat majority relies on Mr Sharma winning.

"This will be a very, very, very tight contest," he said.

"This is a very important by-election for the future of our economy, for the future direction of the country."

Mr Sharma won the eight-person Liberal preselection contest in the early hours of Friday morning ahead of Richard Shields and former Wentworth member Peter King.

The Canadian-born former public servant boasts an impressive resume including advisory roles in Liberal and Labor governments and overseas postings.

He studied law at Cambridge after being one of just 14 students who received top year 12 marks in NSW in 1993.

But the father of three knows he has big shoes to fill in Wentworth.

"Malcolm Turnbull has got an immense local appeal in this electorate," Mr Sharma told reporters.

"He did a huge amount for Wentworth, he did a huge amount for Australia. I do want to acknowledge that debt."

Mr Sharma was pressured to pull out of the preselection contest as party power brokers pushed for a female candidate.

But Malcolm and Lucy Turnbull backed him from New York while another former prime minister, John Howard, also urged him to stay the course.

Local businessman Andrew Bragg quit the race on Monday saying he hoped it would pave the way for a woman to be preselected.

It's understood he agreed to pull out in exchange for a safe spot on the party's NSW Senate ticket.

Internal polling commissioned by Mr Bragg suggested a woman had a better chance of winning the by-election.

Kerryn Phelps, a former Australian Medical Association president and current City of Sydney councillor, is still considering running for the seat as an independent.

She liked multiple tweets on Friday urging her to run.

A spokesman for Dr Phelps told AAP she'll likely "make up her mind" over the weekend.

Labor's candidate is Tamarama Surf Lifesaving Club president Tim Murray.

Federal opposition frontbencher Mark Dreyfus on Friday said Mr Sharma was a "good candidate" but he'd need to "find a policy on climate change".

He said his preselection "shows the divisions in the Liberal Party that they couldn't bring themselves to preselect a woman".

Australian Associated Press