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The Optimal Selection of Small Portfolios

  • B. Blog

    (Van Gend en Loos, Utrecht, The Netherlands)

  • G. van der Hoek

    (Erasmus University, Rotterdam, The Netherlands)

  • A. H. G. Rinnooy Kan

    (Erasmus University, Rotterdam, The Netherlands)

  • G. T. Timmer

    (Erasmus University, Rotterdam, The Netherlands)

Registered author(s):

    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.

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    File URL: http://dx.doi.org/10.1287/mnsc.29.7.792
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    Article provided by INFORMS in its journal Management Science.

    Volume (Year): 29 (1983)
    Issue (Month): 7 (July)
    Pages: 792-798

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    Handle: RePEc:inm:ormnsc:v:29:y:1983:i:7:p:792-798
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