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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Vydané v:Management science Ročník 29; číslo 7; s. 792 - 798
Hlavní autori: Blog, B, van der Hoek, G, Rinnooy Kan, A. H. G, Timmer, G. T
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Linthicum INFORMS 01.07.1983
Institute of Management Sciences
Institute for Operations Research and the Management Sciences
Edícia:Management Science
Predmet:
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
ISSN:0025-1909, 1526-5501
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Shrnutí: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.
Bibliografia:ObjectType-Article-2
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ObjectType-Feature-1
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ObjectType-Statistics/Data Report-1
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ISSN:0025-1909
1526-5501
DOI:10.1287/mnsc.29.7.792