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 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.
Volume (Year): 29 (1983)
Issue (Month): 7 (July)
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