The Optimal Selection of Small Portfolios

B. Blog, G. van der Hoek, A. H. G. Rinnooy Kan and G. T. Timmer
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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

Management Science, 1983, vol. 29, issue 7, 792-798

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.

Keywords: Markowitz efficiency; negative \beta -coefficients; implicit enumeration; dynamic programming (search for similar items in EconPapers)
Date: 1983
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:29:y:1983:i:7:p:792-798

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