文章基本信息

标题：Portfolio Optimization under Cardinality Constraints: A Comparative Study
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作者：Henri Claver Jimbo ; Isidore Seraphin Ngongo ; Nicolas Gabriel Andjiga 等
期刊名称：Open Journal of Statistics
印刷版ISSN：2161-718X
电子版ISSN：2161-7198
出版年度：2017
卷号：07
期号：04
页码：731-742
DOI：10.4236/ojs.2017.74051
语种：English
出版社：Scientific Research Publishing
摘要：The Cardinality Constraint-Based Optimization problem is investigated in this note. In portfolio optimization problem, the cardinality constraint allows one to invest in assets out of a universe of N assets for a prespecified value of K . It is generally agreed that choosing a “small” value of K forces the implementation of diversification in small portfolios. However , the question of how small must be K has remained unanswered. In the present work, using a comparative approach we show computationally that optimal portfolio selection with a relatively small or large number of assets, K , may produce similar results with differentiated reliabilities.
关键词：Cardinality Constraints;Diversity;Portfolio Selection;Portfolio Reliability;Parametric Statistics