60 Years of portfolio optimization: Practical challenges and current trends

被引：401

作者：

Kolm, Petter N. ^{[1
]}

Tuetuencue, Reha ^{[2
]}

Fabozzi, Frank J. ^{[3
]}

机构：

[1] NYU, Courant Inst, New York, NY 10012 USA

[2] Goldman Sachs Asset Management, New York, NY 10282 USA

[3] EDHEC Business Sch, F-06202 Nice 3, France

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2014年 / 234卷 / 02期

关键词：

Black-Litterman; Estimation errors; Mean-variance optimization; Multi-period optimization; Portfolio constraints; Portfolio optimization; VARIANCE-EFFICIENT PORTFOLIOS; ROBUST SOLUTIONS; SELECTION; RISK; CONSTRAINTS; DIVERSIFICATION; UNCERTAINTY; IMPACT; MODEL;

D O I：

10.1016/j.ejor.2013.10.060

中图分类号：

C93 [管理学];

学科分类号：

120117 [社会管理工程];

摘要：

The concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision making. In light of the 60 year anniversary of Harry Markowitz's paper "Portfolio Selection," we review some of the approaches developed to address the challenges encountered when using portfolio optimization in practice, including the inclusion of transaction costs, portfolio management constraints, and the sensitivity to the estimates of expected returns and covariances. In addition, we selectively highlight some of the new trends and developments in the area such as diversification methods, risk-parity portfolios, the mixing of different sources of alpha, and practical multi-period portfolio optimization. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：356 / 371

页数：16

共 103 条

[1]

Almgren R, 2005, Risk, V18, P58

[2]

Almgren R.F., 2001, J RISK, V3, P5, DOI DOI 10.21314/JOR.2001.041

[3]

[Anonymous], 2002, Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

[4]

Coherent measures of risk [J].