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On the optimal selection of portfolios under limited diversification
We address the problem of selecting portfolios which maximize the ratio of the average excess return to the standard deviation, among all those portfolios which comprise at most a pre-specified number, k, of securities. Under the assumptions of constant pairwise correlations and no short-selling, we...
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| Published in: | Journal of banking & finance 1999-11, Vol.23 (11), p.1655-1666 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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| cited_by | cdi_FETCH-LOGICAL-c572t-752176eda46e3362e8571d9fcfca234e3686ca429926a1ea19b7b36471237fb33 |
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| cites | cdi_FETCH-LOGICAL-c572t-752176eda46e3362e8571d9fcfca234e3686ca429926a1ea19b7b36471237fb33 |
| container_end_page | 1666 |
| container_issue | 11 |
| container_start_page | 1655 |
| container_title | Journal of banking & finance |
| container_volume | 23 |
| creator | Sankaran, Jayaram K. Patil, Ajay A. |
| description | We address the problem of selecting portfolios which maximize the ratio of the average excess return to the standard deviation, among all those portfolios which comprise at most a pre-specified number,
k, of securities. Under the assumptions of constant pairwise correlations and no short-selling, we argue that the simple ranking procedure of Elton, Gruber, and Padberg effectively solves the problem for
all values of
k, and that as a function of
k, the optimal ratio increases at a
decreasing rate. We also clarify why further generalization or extension of our results to other situations is improbable. |
| doi_str_mv | 10.1016/S0378-4266(99)00023-0 |
| format | article |
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k, of securities. Under the assumptions of constant pairwise correlations and no short-selling, we argue that the simple ranking procedure of Elton, Gruber, and Padberg effectively solves the problem for
all values of
k, and that as a function of
k, the optimal ratio increases at a
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k, of securities. Under the assumptions of constant pairwise correlations and no short-selling, we argue that the simple ranking procedure of Elton, Gruber, and Padberg effectively solves the problem for
all values of
k, and that as a function of
k, the optimal ratio increases at a
decreasing rate. We also clarify why further generalization or extension of our results to other situations is improbable.</description><subject>Algorithms</subject><subject>Banking</subject><subject>Correlation analysis</subject><subject>Diversification</subject><subject>Fixed transactions costs</subject><subject>Investment policy</subject><subject>Limited diversification</subject><subject>Marginal benefits from diversification</subject><subject>Mathematical models</subject><subject>Mean–variance efficient portfolios</subject><subject>Optimal portfolio selection</subject><subject>Optimization</subject><subject>Portfolio management</subject><subject>Portfolio selection</subject><subject>Ranking algorithms</subject><subject>Securities issues</subject><subject>Stock returns</subject><subject>Studies</subject><subject>Transaction costs</subject><issn>0378-4266</issn><issn>1872-6372</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1999</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNqFkT1PwzAQhi0EEqXwE5AiBgRDwB-JHU8IlU-pqAMwW65zVl2lcbDTSv33OC1iYGHw-YbnfXX3HkLnBN8QTPjtO2aiygvK-ZWU1xhjynJ8gEakEjTnTNBDNPpFjtFJjMsE4YqwEXqYtVm_gMx3vVvpJovQgOmdbzNvs86H3vrG-Zit2xpC1riV66HOareBEJ11Rg_sKTqyuolw9vOP0efT48fkJZ_Onl8n99PclIL2uSgpERxqXXBgjFOoSkFqaY01mrICGK-40QWVknJNQBM5F3PGC0EoE3bO2Bhd7n274L_WEHu1ctFA0-gW_DoqVglZsoIn8OIPuPTr0KbZFJFFJSUXA1TuIRN8jAGs6kLKIGwVwWoIVu2CVUNqSkq1C1bhpHvb6wJ0YH5FALCcW9dqtVEs7ZPKNj0ik5RpN7QklW5oeFkqwpPtol8lv7u9H6ToNg6CisZBa6B2Id1C1d79M9E3PrCYwQ</recordid><startdate>19991101</startdate><enddate>19991101</enddate><creator>Sankaran, Jayaram K.</creator><creator>Patil, Ajay A.</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>19991101</creationdate><title>On the optimal selection of portfolios under limited diversification</title><author>Sankaran, Jayaram K. ; Patil, Ajay A.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c572t-752176eda46e3362e8571d9fcfca234e3686ca429926a1ea19b7b36471237fb33</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1999</creationdate><topic>Algorithms</topic><topic>Banking</topic><topic>Correlation analysis</topic><topic>Diversification</topic><topic>Fixed transactions costs</topic><topic>Investment policy</topic><topic>Limited diversification</topic><topic>Marginal benefits from diversification</topic><topic>Mathematical models</topic><topic>Mean–variance efficient portfolios</topic><topic>Optimal portfolio selection</topic><topic>Optimization</topic><topic>Portfolio management</topic><topic>Portfolio selection</topic><topic>Ranking algorithms</topic><topic>Securities issues</topic><topic>Stock returns</topic><topic>Studies</topic><topic>Transaction costs</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Sankaran, Jayaram K.</creatorcontrib><creatorcontrib>Patil, Ajay A.</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of banking & finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Sankaran, Jayaram K.</au><au>Patil, Ajay A.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>On the optimal selection of portfolios under limited diversification</atitle><jtitle>Journal of banking & finance</jtitle><date>1999-11-01</date><risdate>1999</risdate><volume>23</volume><issue>11</issue><spage>1655</spage><epage>1666</epage><pages>1655-1666</pages><issn>0378-4266</issn><eissn>1872-6372</eissn><coden>JBFIDO</coden><abstract>We address the problem of selecting portfolios which maximize the ratio of the average excess return to the standard deviation, among all those portfolios which comprise at most a pre-specified number,
k, of securities. Under the assumptions of constant pairwise correlations and no short-selling, we argue that the simple ranking procedure of Elton, Gruber, and Padberg effectively solves the problem for
all values of
k, and that as a function of
k, the optimal ratio increases at a
decreasing rate. We also clarify why further generalization or extension of our results to other situations is improbable.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/S0378-4266(99)00023-0</doi><tpages>12</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 1999-11, Vol.23 (11), p.1655-1666 |
| issn | 0378-4266 1872-6372 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38795346 |
| source | International Bibliography of the Social Sciences (IBSS); ScienceDirect Freedom Collection 2022-2024 |
| subjects | Algorithms Banking Correlation analysis Diversification Fixed transactions costs Investment policy Limited diversification Marginal benefits from diversification Mathematical models Mean–variance efficient portfolios Optimal portfolio selection Optimization Portfolio management Portfolio selection Ranking algorithms Securities issues Stock returns Studies Transaction costs |
| title | On the optimal selection of portfolios under limited diversification |
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