Cardinality-constrained approach: Small portfolios breakthrough in the Philippine market from January 2015 to December 2019

• Main Authors: Cabador, Judely Ann Calipusan, Calo-oy, Clarissa Lingat, Duldulao, Krisma Allu Gapasin, Zamora, Juliene Faye Palmares
• Format: text
• Language: English
• Published: Animo Repository 2021
• Subjects: Portfolio management—Philippines; Stocks—Philippines; Corporate Finance; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/16; https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1000&context=etdb_finman
• Institution: De La Salle University

Diversification of assets usually implies that a portfolio should contain a large number of assets. However, this paper constructed small but optimal portfolios called cardinality-constrained portfolios that can attain returns as good as large portfolios. This paper specifically constructed 3, 5, an...