RT Journal Article SR Electronic T1 Using Binary Variables to Obtain Small Optimal Portfolios JF The Journal of Portfolio Management FD Institutional Investor Journals SP 68 OP 72 DO 10.3905/jpm.2007.698035 VO 34 IS 1 A1 Françoise Charpin A1 Dominique Lacaze YR 2007 UL https://pm-research.com/content/34/1/68.abstract AB Binary modeling may be used in order to constrain the number of stocks in an optimal portfolio. Such modeling allows an exact resolution of the number problem raised by Jansen and van Dijk in an earlier issue; their solution is only approximate. Binary variable modeling allows imposition of a minimum threshold for portfolio weights, whether by itself or along with the numerical constraint. A manager can thus limit transaction and administrative costs when tracking a benchmark or constructing an efficient portfolio.TOPICS: Portfolio construction, portfolio management/multi-asset allocation