[R-SIG-Finance] mean-(scalar) portfolio optimization

[David Kane]

Patrick Burns writes:
 > If you are serious about portfolio optimization, then
 > you need to confront integer constraints such as a
 > maximum number of assets to trade and a maximum
 > number of assets in the portfolio.  

Well, I guess it depends on what you mean by "serious". I like to
think of myself as someone who is very serious about creating optimal
portfolios, but something like integer contraints has never been an
issue, anywhere that I have worked. I have never heard of an actual
applied example with an institutionally-sized portfolio of equities in
which integer constraints made a meaningful difference to the answer.

But, if there is some example of such a case, a case in which you get
a very different answer using more sophisticated approaches, I would
be interested in reading about it.


Dave

-- 
David Kane
Kane Capital Management
646-644-3626