On the Optimal Selection of Portfolios under Limited Diversification
نویسندگان
چکیده
We address the problem of selecting portfolios that are optimal among all those portfolios that comprise at most a pre-specified number, k, of securities. We consider two criteria: maximizing the ratio of the average excess return to the standard deviation; and maximizing the correlation with a specified market-index. Under standard assumptions of the behaviour of stock returns, we develop procedures that are of polynomial complexity and that require minimal data.
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