Santos, André A. P. - In: Economia : revista da ANPEC 16 (2015) 1, pp. 22-31
Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios … question by implementing a tractable reformulation of the cardinality-constrained version of the minimum variance portfolio. We … analyze the out-of-sample performance of cardinality-constrained portfolios according to alternative criteria and check the …