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https://doi.org/10.1016/S0377-2217(98)00252-5

has been cited by the following article:

• TITLE: Portfolio Optimization under Cardinality Constraints: A Comparative Study

  AUTHORS: Henri Claver Jimbo, Isidore Seraphin Ngongo, Nicolas Gabriel Andjiga, Takeru Suzuki, Charles Awona Onana

  KEYWORDS: Cardinality Constraints, Diversity, Portfolio Selection, Portfolio Reliability, Parametric Statistics

  JOURNAL NAME: Open Journal of Statistics, Vol.7 No.4, August 31, 2017

  ABSTRACT: 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.