Portfolio Selection: A Review

被引：19

作者：

Detemple, Jerome ^{[1
]}

机构：

[1] Boston Univ, Sch Management, Boston, MA 02215 USA

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2014年 / 161卷 / 01期

关键词：

Portfolio choice; Mean-variance model; Diffusion models; Complete markets; Monte Carlo simulation; Malliavin derivative; Dynamic hedging; Bond numeraire; DYNAMIC ASSET ALLOCATION; OPTIMAL CONSUMPTION; SMALL INVESTOR; TERM STRUCTURE; PRICES FOLLOW; RISK-AVERSION; MARTINGALE; RETURNS; MODEL; DECOMPOSITION;

D O I：

10.1007/s10957-012-0208-1

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper reviews portfolio selection models and provides perspective on some open issues. It starts with a review of the classic Markowitz mean-variance framework. It then presents the intertemporal portfolio choice approach developed by Merton and the fundamental notion of dynamic hedging. Martingale methods and resulting portfolio formulas are also reviewed. Their usefulness for economic insights and numerical implementations is illustrated. Areas of future research are outlined.

引用

页码：1 / 21

页数：21

共 50 条

[41] On a model of portfolio selection with benchmark
N Wagner
[J]. Journal of Asset Management, 2002, 3 (1) : 55 - 65
[42] Prospect theory and portfolio selection
Best, Michael J.
Grauer, Robert R.
[J]. JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2016, 11 : 13 - 17
[43] Investor sentiment and portfolio selection
Fu, Chengbo
Jacoby, Gady
Wang, Yan
[J]. FINANCE RESEARCH LETTERS, 2015, 15 : 266 - 273
[44] Portfolio selection and transactions costs
Best, MJ
Hlouskova, J
[J]. COMPUTATIONAL OPTIMIZATION AND APPLICATIONS, 2003, 24 (01) : 95 - 116
[45] On-line portfolio selection
Ordentlich, Erik
Cover, Thomas M.
[J]. Proceedings of the Annual ACM Conference on Computational Learning Theory, 1996, : 310 - 313
[46] Intelligent System for Portfolio Selection
Silva, A. H. C.
Lacerda, W. S.
[J]. IEEE LATIN AMERICA TRANSACTIONS, 2014, 12 (08) : 1545 - 1552
[47] OWA Operators in Portfolio Selection
Laengle, Sigifredo
Loyola, Gino
Merigo, Jose M.
[J]. SCIENTIFIC METHODS FOR THE TREATMENT OF UNCERTAINTY IN SOCIAL SCIENCES, 2015, 377 : 53 - 64
[48] Alternative Portfolio Selection Models
Mlynarovic, Vladimir
[J]. PROCEEDINGS OF THE 23RD INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2005, 2005, : 268 - 272
[49] Topological Portfolio Selection and Optimization
Wang, Yuanrong
Briola, Antonio
Aste, Tomaso
[J]. PROCEEDINGS OF THE 4TH ACM INTERNATIONAL CONFERENCE ON AI IN FINANCE, ICAIF 2023, 2023, : 681 - 688
[50] A note on the portfolio selection problem
Pellerey, F
Semeraro, P
[J]. THEORY AND DECISION, 2005, 59 (04) : 295 - 306

← 1 2 3 4 5 →