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2009-06

Portfolio Optimization Problems: A Survey

by Bolshakova, I., Kovalev, M., Girlich, E..


Series: 2009-06, Preprints

MSC:
90C27 Combinatorial optimization

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 risk-neutral density estimation. The mathematical portfolio optimization problems are the quadratic or linear parametrical programming sometimes with integer variables.

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