OPTIMAL PORTFOLIO SELECTION WITH UPPER BOUNDS FOR INDIVIDUAL SECURITIES*
研究了不允许卖空且单个证券有持有上限时的最优投资组合选择问题，通过修正无上限的最优组合来求解，算法迭代次数少且直观易懂，对金融学者和投资管理者都有参考价值。
ABSTRACT In this paper, we consider optimal portfolio selection with no short sales and with upper bounds for individual securities. The solution is reached by directy revising the optimal portfolio without upper bounds. Specifically, our analysis is based on the single‐index model, as well as the general multi‐index model that provides the return generating process for securities in the arbitrage pricing theory. As demonstrated in a simulation study, the proposed algorithm for optimal portfolio selection usually requires very few iterations. Also, since our approach is developed using intuitive reasoning and simple linear algebra, we are able to provide direct and intuitive justifications for the resulting portfolio choice. Therefore this paper should be of interest to both finance academics and practitioners in portfolio management.