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

• 저널Management Science · 29(7) · 792–798
• 토픽Optimization and Packing Problems · Industrial and Manufacturing Engineering
• DOI10.1287/mnsc.29.7.792
• 저자B. Blog, Gerard Hoek, A. H. G. Rinnooy Kan, G. T. Timmer