
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.
implicit enumeration algorithm, negative beta-coefficients, finance, Integer programming, optimal portfolio, Finance etc., Dynamic programming, Operations research and management science, Markowitz efficiency, negative \beta -coefficients, implicit enumeration, dynamic programming, Applications of mathematical programming, heuristic method, risk-return efficient portfolios, Markowitz efficiency
implicit enumeration algorithm, negative beta-coefficients, finance, Integer programming, optimal portfolio, Finance etc., Dynamic programming, Operations research and management science, Markowitz efficiency, negative \beta -coefficients, implicit enumeration, dynamic programming, Applications of mathematical programming, heuristic method, risk-return efficient portfolios, Markowitz efficiency
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