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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Bibliographic Details
Published in:	Management science Vol. 29; no. 7; pp. 792 - 798
Main Authors:	Blog, B, van der Hoek, G, Rinnooy Kan, A. H. G, Timmer, G. T
Format:	Journal Article
Language:	English
Published:	Linthicum INFORMS 01.07.1983 Institute of Management Sciences Institute for Operations Research and the Management Sciences
Series:	Management Science
Subjects:	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
Online Access:	Get full text
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