Skip to Main content Skip to Navigation
Conference papers

An empirical study to find the optimal number of security in portfolio selection problem

Bezoui Madani Moulaï Mustapha Ahcène Bounceur 1, 2
1 Lab-STICC_UBO_CACS_MOCS
Lab-STICC - Laboratoire des sciences et techniques de l'information, de la communication et de la connaissance, UBO - Université de Brest
Abstract : Portfolio selection problem is one of the most important issues in finance. It had a lot of enthusiasm from the scientific community these last decades specially after the work of the father of modern portfolio theory Harry Markowitz. The aim of this work is to find the optimal number of securities in portfolio selection problem, to get the best efficient frontier. A statistical study is conducted on a different markets. We consider issues of selection of securities under cardinality constraints, as a mixed model bi-objective variable we will solve afterwards with an exact method. Experiments are performed with major market indices, such as the Hang Seng, DAX100, FTSE 100, S&P 100, Nikkei, S&P 500 and Nasdaq.
Document type :
Conference papers
Complete list of metadatas

https://hal.univ-brest.fr/hal-01299626
Contributor : Ahcène Bounceur <>
Submitted on : Friday, April 8, 2016 - 12:34:24 AM
Last modification on : Wednesday, June 24, 2020 - 4:19:24 PM

Identifiers

  • HAL Id : hal-01299626, version 1

Citation

Bezoui Madani, Moulaï Mustapha, Ahcène Bounceur. An empirical study to find the optimal number of security in portfolio selection problem. International Conference on Multidimensional Finance, Insurance and Investment (ICMFII'2016), Jun 2016, Valence, Spain. ⟨hal-01299626⟩

Share

Metrics

Record views

193