eduzhai > Physical Sciences > Physics Sciences >

Portfolio Optimization under Cardinality Constraints: A Comparative Study

  • Save

... pages left unread,continue reading

Document pages: 12 pages

Abstract: The Cardinality Constraint-Based Optimizationproblem is investigated in this note. In portfolio optimization problem, thecardinality constraint allows one to invest in assets out ofa universe of N assets for aprespecified value of K. It isgenerally agreed that choosing a “small” value of K forces the implementation of diversification in small portfolios.However, thequestion of how small must be K hasremained unanswered. In the present work, using a comparative approach we showcomputationally that optimal portfolio selection with a relatively small orlarge number of assets, K, mayproduce similar results with differentiated reliabilities.

Please select stars to rate!

         

0 comments Sign in to leave a comment.

    Data loading, please wait...
×