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On the optimal selection of portfolios under limited diversification

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  • Sankaran, Jayaram K.
  • Patil, Ajay A.

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  • Sankaran, Jayaram K. & Patil, Ajay A., 1999. "On the optimal selection of portfolios under limited diversification," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1655-1666, November.
    • Handle: RePEc:eee:jbfina:v:23:y:1999:i:11:p:1655-1666
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    1. Thomas E. Conine, Jr. & Oscar W. Jensen & Maurry Tamarkin, 1989. "On Optimal Production and the Market to Book Ratio Given Limited Shareholder Diversification," Management Science, INFORMS, vol. 35(8), pages 1004-1013, August.
    2. Elton, Edwin J. & Gruber, Martin J. & Padberg, Manfred W., 1977. "Simple Rules for Optimal Portfolio Selection: The Multi Group Case," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(3), pages 329-345, September.
    3. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1978. "Simple Criteria for Optimal Portfolio Selection: Tracing out the Efficient Frontier," Journal of Finance, American Finance Association, vol. 33(1), pages 296-302, March.
    4. Mao, James C T, 1970. "Essentials of Portfolio Diversification Strategy," Journal of Finance, American Finance Association, vol. 25(5), pages 1109-1121, December.
    5. Nitin R. Patel & Marti G. Subrahmanyam, 1982. "A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs," Management Science, INFORMS, vol. 28(3), pages 303-314, March.
    6. repec:bla:jfinan:v:44:y:1989:i:5:p:1435-38 is not listed on IDEAS
    7. Bruce Faaland, 1974. "An Integer Programming Algorithm for Portfolio Selection," Management Science, INFORMS, vol. 20(10), pages 1376-1384, June.
    8. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    9. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1976. "Simple Criteria for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 31(5), pages 1341-1357, December.
    10. John L. Evans & Stephen H. Archer, 1968. "Diversification And The Reduction Of Dispersion: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 23(5), pages 761-767, December.
    11. B. Blog & G. van der Hoek & A. H. G. Rinnooy Kan & G. T. Timmer, 1983. "The Optimal Selection of Small Portfolios," Management Science, INFORMS, vol. 29(7), pages 792-798, July.
    12. Kwan, Clarence C. Y., 1995. "Optimal portfolio selection under institutional procedures for short selling," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 871-889, August.
    13. Fisher, Lawrence & Lorie, James H, 1970. "Some Studies of Variability of Returns on Investments in Common Stocks," The Journal of Business, University of Chicago Press, vol. 43(2), pages 99-134, April.
    14. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    15. Jacob, Nancy L, 1974. "A Limited-Diversification Portfolio Selection Model for the Small Investor," Journal of Finance, American Finance Association, vol. 29(3), pages 847-856, June.
    16. Brennan, M. J., 1975. "The Optimal Number of Securities in a Risky Asset Portfolio When There Are Fixed Costs of Transacting: Theory and Some Empirical Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(3), pages 483-496, September.
    17. Bark, Hee-Kyung K., 1991. "Risk, return, and equilibrium in the emerging markets: Evidence from the Korean stock market," Journal of Economics and Business, Elsevier, vol. 43(4), pages 353-362, November.
    18. Alexander, Gordon J, 1993. "Short Selling and Efficient Sets," Journal of Finance, American Finance Association, vol. 48(4), pages 1497-1506, September.
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    Cited by:

    1. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    2. Dilip B. Madan & King Wang, 2023. "Measuring Dependence in a Set of Asset Returns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 363-385, June.
    3. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    4. Alice A. Melkumian, 2012. "The Opportunity Cost of Holding a “Naive” Portfolio," Journal of Economic Insight, Missouri Valley Economic Association, vol. 38(1), pages 23-42.
    5. Charles-Albert Lehalle & Guillaume Simon, 2021. "Portfolio selection with active strategies: how long only constraints shape convictions," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 443-463, October.
    6. Jerome Garnier-Brun & Michael Benzaquen & Stefano Ciliberti & Jean-Philippe Bouchaud, 2021. "A new spin on optimal portfolios and ecological equilibria," Papers 2104.00668, arXiv.org, revised Oct 2021.
    7. David Puelz & P. Richard Hahn & Carlos M. Carvalho, 2020. "Portfolio selection for individual passive investing," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(1), pages 124-142, January.
    8. Anatoly B. Schmidt, 2019. "Managing portfolio diversity within the mean variance theory," Annals of Operations Research, Springer, vol. 282(1), pages 315-329, November.

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