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Portfolio Optimization

Combined Portfolio Divided Portfolio Asset Allocation
 
Conclusions

Divided Portfolio/Problem Description

To reduce the risk of your portfolio a financial advisor may put you in several mutual funds that embrace varying investment styles, geographic regions, and industry sectors. In that case the portfolio should include the specific number of representatives from different groups of funds. Assume we need to select the subsets of:

and bundle them together into the set of portfolios.

The number of ways in which the divided portfolios of 14 funds can be selected is

Suppose we possess the hypothetical supercomputer capable of analyzing 100 trillions combinations per second. It will take about 237 years to process all possible combinations and find the optimal solutions!

Using our software it can be done in minutes.


An Exact Polynomial Search Algorithm
for the 0/1 Knapsack Problem


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