The Optimal Selection of Small Portfolios
针对小投资者，提出一种隐枚举算法和高效启发式方法，在限定证券数量的条件下找到风险收益最优的投资组合，且允许包含贝塔系数为负的证券。
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 moreover allows the inclusion of securities whose β-coefficient is negative. A simple and computationally very efficient heuristic method that almost always produces optimal portfolios is described as well.