Overview of Portfolio Optimization Models

Advances in Mathematical Finance and Applications

مقاله 1، دوره 5، شماره 4، دی 2020، صفحه 419-435   

نوع مقاله: Review Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2020.674941

نویسنده

Majid Zanjirdar

Department of Financial Management, Faculty of Management, Islamic Azad University, Arak, Iran

چکیده

Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimization in recent decades. Along with the growing use of portfolios and despite its rich literature, there are still many unanswered issues and questions in this area. Also, Iranian capital markets, as emerging markets, require native research to answer these questions and issues. The purpose of this study is to provide a useful and effective tool to assist professionals and researchers in portfolio selection theory. This study, while comprehensively reviewing the literature on the subject and the developments and expansions made in the area of portfolio selection and optimization, reviews the types of problems and optimization methods.

کلیدواژه‌ها

Portfolio Optimization Models؛ Mathematical Models؛ Meta-Heuristic Models

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