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Title: Efficient Cardinality/Mean-Variance Portfolios
Authors: Brito, R. Pedro 
Vicente, Luís Nunes 
Issue Date: 2014
Publisher: Springer, Berlin, Heidelberg
Project: info:eu-repo/grantAgreement/FCT/COMPETE/132981/PT 
Serial title, monograph or event: System Modeling and Optimization. CSMO 2013. IFIP Advances in Information and Communication Technology
Volume: 443
Place of publication or event: Klagenfurt, Austria
Abstract: We propose a novel approach to handle cardinality in portfolio selection, by means of a biobjective cardinality/mean-variance problem, allowing the investor to analyze the efficient tradeoff between return-risk and number of active positions. Recent progress in multiobjective optimization without derivatives allow us to robustly compute (in-sample) the whole cardinality/mean-variance efficient frontier, for a variety of data sets and mean-variance models. Our results show that a significant number of efficient cardinality/mean-variance portfolios can overcome (out-of-sample) the naive strategy, while keeping transaction costs relatively low.
DOI: 10.1007/978-3-662-45504-3_6
Rights: embargoedAccess
Appears in Collections:I&D CMUC - Artigos e Resumos em Livros de Actas

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