modern portfolio theory is based on harry markowitz's 1952 work on mean-variance portfolios. he stated that a rational investor should either maximize his expected return for a given level of risk, or minimize his risk for a given expected return. in this study the markowitz model with cardinality constraints was studied. we extend the standard model to include cardinality constraints that...

The expanding number of assets offers more opportunities for investors but poses new challenges modern portfolio management (PM). As a central plank PM, selection by expected utility maximization (EUM) faces uncontrollable estimation and optimization errors in ultrahigh-dimensional scenarios. Past strategies high-dimensional PM mainly concern only large-cap companies select many stocks, making ...