On the optimal selection of portfolios under limited diversification

[1]  H. Leland.,et al.  Cash Management for Index Tracking , 1995 .

[2]  Clarence C. Y. Kwan.  Optimal portfolio selection under institutional procedures for short selling , 1995 .

[3]  G. J. Alexander.  Efficient Sets, Short-Sellling, and Estimation Risk , 1995 .

[4]  Nigel Meade,et al.  A simple algorithm to incorporate transactions costs in quadratic optimisation , 1994 .

[5]  Gordon J. Alexander,et al.  Short Selling and Efficient Sets , 1993 .

[6]  Hee-Kyung K. Bark.  Risk, return, and equilibrium in the emerging markets: Evidence from the Korean stock market , 1991 .

[7]  Y. Aneja,et al.  A Portfolio Approach to Estimating the Average Correlation Coefficient for the Constant Correlation Model , 1989 .

[8]  Nigel Meade,et al.  Index Funds—Construction and Performance Measurement , 1989 .

[9]  Thomas E. Conine,et al.  On optimal production and the market to book ratio given limited shareholder diversification , 1989 .

[10]  J. Sengupta,et al.  Tests of efficiency of limited diversification portfolios , 1985 .

[11]  G. Hoek,et al.  The Optimal Selection of Small Portfolios , 1983 .

[12]  N. Patel,et al.  A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs , 1982 .

[13]  Mary W. Cooper,et al.  An integer programming algorithm for portfolio selection with fixed charges , 1982 .

[14]  J Tobin,et al.  Portfolio theory. , 1981, Science.

[15]  E. Elton.  Modern portfolio theory and investment analysis , 1981 .

[16]  Andrew Rudd,et al.  Optimal Selection of Passive Portfolios , 1980 .

[17]  Manfred W. Padberg,et al.  SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION: TRACING OUT THE EFFICIENT FRONTIER , 1978 .

[18]  Manfred W. Padberg,et al.  Simple Rules for Optimal Portfolio Selection: The Multi Group Case , 1977, Journal of Financial and Quantitative Analysis.

[19]  M. Padberg,et al.  Simple Criteria for Optimal Portfolio Selection , 1976 .

[20]  Michael J. Brennan,et al.  The Optimal Number of Securities in a Risky Asset Portfolio When There Are Fixed Costs of Transacting: Theory and Some Empirical Results , 1975 .

[21]  Nancy L. Jacob.  A Limited-Diversification Portfolio Selection Model for the Small Investor , 1974 .

[22]  Bruce Faaland,et al.  An Integer Programming Algorithm for Portfolio Selection , 1974 .

[23]  James C. T. Mao,et al.  Essentials of Portfolio Diversification Strategy , 1970 .

[24]  Lawrence Fisher,et al.  Some Studies of Variability of Returns on Investments in Common Stocks , 1970 .

[25]  John L. Evans,et al.  DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS , 1968 .

[26]  J. Mossin.  EQUILIBRIUM IN A CAPITAL ASSET MARKET , 1966 .

[27]  J. Lintner.  THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .

[28]  W. Sharpe.  CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .

[29]  W. Sharpe.  A Simplified Model for Portfolio Analysis , 1963 .