Anmerkungen:
Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
Beschreibung:
Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios, have been receiving attention in the literature due to its popularity among market practitioners and retail investors. In most cases, however, the interest is in proposing efficient optimization methods to solve the problem, with little or no attention to the characteristics of the resulting portfolio such as risk-adjusted performance and turnover. We address this 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 robustness of the results for portfolios with alternative number of assets and under alternative re-balancing frequencies. Our empirical application for the Brazilian equities market shows that cardinality-constrained minimum variance portfolios with very few assets, e.g. 3 stocks, can deliver statistically lower portfolio risk and higher Sharpe ratios in comparison to the market index. Similar results are obtained for constrained portfolios with 5 and 10 assets and under daily, weekly, and monthly re-balancing frequencies. Our evidence indicates that it is possible to obtain better risk-adjusted performance with fewer securities in the portfolio by using an improved allocation scheme. ; Carteiras ótimas com restrições no número de ativos, também conhecidas como carteiras com restrições de cardinalidade, tem recebido grande atenção na literatura em função da sua popularidade entre praticantes de mercado e pequenos investidores. Na maioria dos casos, entretanto, o interesse está em propor métodos eficientes de otimização para resolver o problema, com pouca ou nenhuma atenção às características das carteiras como desempenho ajustado ao risco ou turnover. Abordamos esta questão através da implementação de uma reformulação tratável do problema de minimização da variância da carteira sujeita à ...