Blog, B.; Hoek, G. van der; Kan, A. H. G. Rinnooy; … - In: Management Science 29 (1983) 7, pp. 792-798
Portfolios that are risk-return efficient in the sense of Markowitz sometimes contain too many securities to be attractive to the small investor. An optimal portfolio subject to a size constraint can be found by an implicit enumeration algorithm, that is much faster than a previous approach and...