IDEAS home Printed from https://ideas.repec.org/a/inm/ormnsc/v29y1983i7p792-798.html
   My bibliography  Save this article

The Optimal Selection of Small Portfolios

Author

Listed:
  • 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)

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 \beta -coefficient is negative. A simple and computationally very efficient heuristic method that almost always produces optimal portfolios is described as well.

Suggested Citation

  • B. Blog & G. van der Hoek & A. H. G. Rinnooy Kan & G. T. Timmer, 1983. "The Optimal Selection of Small Portfolios," Management Science, INFORMS, vol. 29(7), pages 792-798, July.
  • Handle: RePEc:inm:ormnsc:v:29:y:1983:i:7:p:792-798
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/mnsc.29.7.792
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kapteyn, Arie & Teppa, Federica, 2011. "Subjective measures of risk aversion, fixed costs, and portfolio choice," Journal of Economic Psychology, Elsevier, vol. 32(4), pages 564-580, August.
    2. Sankaran, Jayaram K. & Patil, Ajay A., 1999. "On the optimal selection of portfolios under limited diversification," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1655-1666, November.
    3. White, D.J., 1998. "Epsilon-dominating solutions in mean-variance portfolio analysis," European Journal of Operational Research, Elsevier, vol. 105(3), pages 457-466, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:29:y:1983:i:7:p:792-798. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mirko Janc). General contact details of provider: http://edirc.repec.org/data/inforea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.