Portfolio selection problems with Markowitz's mean-variance framework: a review of literature

被引：62

作者：

Zhang, Yuanyuan ^{[1
]}

Li, Xiang ^{[1
]}

Guo, Sini ^{[1
]}

机构：

[1] Beijing Univ Chem Technol, Sch Econ & Management, Beijing 100029, Peoples R China

来源：

FUZZY OPTIMIZATION AND DECISION MAKING | 2018年 / 17卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Portfolio selection; Mean-variance model; Dynamic optimization; Fuzzy optimization; Robust optimization; ASSET-LIABILITY MANAGEMENT; EFFICIENT PORTFOLIOS; ANALYTIC DERIVATION; OPTIMIZATION MODEL; STOCHASTIC-CONTROL; ROBUST PORTFOLIOS; EXPECTED VALUE; FUZZY; CONSUMPTION; UNCERTAINTY;

D O I：

10.1007/s10700-017-9266-z

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Since the pioneering work of Harry Markowitz, mean-variance portfolio selection model has been widely used in both theoretical and empirical studies, which maximizes the investment return under certain risk level or minimizes the investment risk under certain return level. In this paper, we review several variations or generalizations that substantially improve the performance of Markowitz's mean-variance model, including dynamic portfolio optimization, portfolio optimization with practical factors, robust portfolio optimization and fuzzy portfolio optimization. The review provides a useful reference to handle portfolio selection problems for both researchers and practitioners. Some summaries about the current studies and future research directions are presented at the end of this paper.

引用

页码：125 / 158

页数：34

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