Portfolio optimization: a survey

Authors

  • Irina V. Bolshakova Belarusian State University, Niezaliežnasci Avenue, 4, 220030, Minsk, Belarus

Keywords:

Markowitz, portfolio optimization, absolute deviation, portfolio diversification, efficient frontier, Sharpe ratio, minimax model, integer variables, fuzzy expected return

Abstract

Optimization models play an increasingly role in financial decisions. This paper analyzes the portfolio optimization model which is the most important of them. We are discussing the mathematical models and modern optimization techniques for some classes of portfolio optimization problems more important criteria. Portfolio optimization problems are based on mean-variance models for returns and for riskneutral density estimation. The mathematical portfolio optimization problems are the quadratic or linear parametrical programming sometimes with integer variables.

Author Biography

  • Irina V. Bolshakova, Belarusian State University, Niezaliežnasci Avenue, 4, 220030, Minsk, Belarus

    senior lecturer at the department of analytical economics and econometrics, faculty of economics

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Published

2018-10-27

Issue

No. 2 (2017): Journal of the Belarusian State University. Economics

Section

C. Mathematical and Quantitative Methods

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How to Cite

[1]
Bolshakova, I.V. 2018. Portfolio optimization: a survey. Journal of the Belarusian State University. Economics. 2 (Oct. 2018), 4–15.