The Optimal Selection of Small Portfolios
Portfolios that are risk-return efficient in the sense of Markowitz sometimes contain too many securities to be attractive to the small investor. An optimal portfolio subject to a size constraint can be found by an implicit enumeration algorithm, that is much faster than a previous approach and more...
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| Vydáno v: | Management science Ročník 29; číslo 7; s. 792 - 798 |
|---|---|
| Hlavní autoři: | , , , |
| Médium: | Journal Article |
| Jazyk: | angličtina |
| Vydáno: |
Linthicum
INFORMS
01.07.1983
Institute of Management Sciences Institute for Operations Research and the Management Sciences |
| Edice: | Management Science |
| Témata: | |
| ISSN: | 0025-1909, 1526-5501 |
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| Abstract | Portfolios that are risk-return efficient in the sense of Markowitz sometimes contain too many securities to be attractive to the small investor. An optimal portfolio subject to a size constraint can be found by an implicit enumeration algorithm, that is much faster than a previous approach and moreover allows the inclusion of securities whose β-coefficient is negative. A simple and computationally very efficient heuristic method that almost always produces optimal portfolios is described as well. |
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| AbstractList | Efficient risk-return securities portfolios, as defined by Markowitz (1959), are frequently too large to be of interest to the small investor. An implicit enumeration algorithm is presented for determining an optimal risk-return portfolio of limited size. The algorithm is computationally more efficient than the method developed by Faaland (1974), and it offers the additional advantage of allowing securities with negative beta-coefficients to be incorporated into the optimal portfolio. Use of the enumeration algorithm results in exponentially increasing computation time with increasing problem size. Consequently, a simple heuristic method is developed for larger portfolio selection problems. The heuristic method almost always yields optimal portfolios, while only requiring linearly increasing computation time to solve problems of increasing size. Portfolios that are risk-return efficient in the sense of Markowitz sometimes contain too many securities to be attractive to the small investor. An optimal portfolio subject to a size constraint can be found by an implicit enumeration algorithm, that is much faster than a previous approach and moreover allows the inclusion of securities whose β-coefficient is negative. A simple and computationally very efficient heuristic method that almost always produces optimal portfolios is described as well. Portfolios that are risk-return efficient in the sense of Markowitz sometimes contain too many securities to be attractive to the small investor. An optimal portfolio subject to a size constraint can be found by an implicit enumeration algorithm, that is much faster than a previous approach and moreover allows the inclusion of securities whose \beta -coefficient is negative. A simple and computationally very efficient heuristic method that almost always produces optimal portfolios is described as well. Portfolios that are risk-return efficient in the sense of Markowitz sometimes contain too many securities to be attractive to the small investor. An optimal portfolio subject to a size constraint can be found by an implicit enumeration algorithm, that is much faster than a previous approach and moreover allows the inclusion of securities whose -coefficient is negative. A simple and computationally very efficient heuristic method that almost always produces optimal portfolios is described as well. Markowitz Efficiency; Negative beta-Coefficients; Implicit Enumeration; Dynamic Programming |
| Author | van der Hoek, G Rinnooy Kan, A. H. G Blog, B Timmer, G. T |
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| Copyright | Copyright 1983 The Institute of Management Sciences Copyright Institute for Operations Research and the Management Sciences Jul 1983 |
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| Snippet | Portfolios that are risk-return efficient in the sense of Markowitz sometimes contain too many securities to be attractive to the small investor. An optimal... Markowitz Efficiency; Negative beta-Coefficients; Implicit Enumeration; Dynamic Programming Efficient risk-return securities portfolios, as defined by Markowitz (1959), are frequently too large to be of interest to the small investor. An implicit... |
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| SubjectTerms | Algorithms Coefficients Computation Dynamic programming Enumeration Financial portfolios Financial securities Heuristic implicit enumeration Integers Investment policy Investors Lexicography Markowitz efficiency Mathematical models negative \beta -coefficients negative β-coefficients Portfolio investments Portfolios Quadratic programming Securities Security portfolios |
| Title | The Optimal Selection of Small Portfolios |
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