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

Madani Bezoui Moulaï Mustapha Ahcène Bounceur 1, 2 
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.
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Contributor : Ahcène Bounceur Connect in order to contact the contributor
Submitted on : Friday, April 8, 2016 - 12:34:24 AM
Last modification on : Monday, March 14, 2022 - 11:08:08 AM


  • HAL Id : hal-01299626, version 1


Madani Bezoui, 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⟩



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