Article ID: | iaor200971045 |
Country: | Germany |
Volume: | 6 |
Issue: | 3 |
Start Page Number: | 329 |
End Page Number: | 345 |
Publication Date: | Aug 2009 |
Journal: | Computational Management Science |
Authors: | Bartholomew-Biggs M C, Kane S J |
Keywords: | portfolio management |
This paper deals with the issue of buy-in thresholds in portfolio optimization using the Markowitz approach. Optimal values of invested fractions calculated using, for instance, the classical minimum-risk problem can be unsatisfactory in practice because they lead to unrealistically small holdings of certain assets. Hence we may want to impose a discrete restriction on each invested fraction