Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature

Yuanyuan Zhang, Xiang Li*, Sini Guo

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

84 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)125-158
Number of pages34
JournalFuzzy Optimization and Decision Making
Volume17
Issue number2
DOIs
Publication statusPublished - 1 Jun 2018
Externally publishedYes

Keywords

  • Dynamic optimization
  • Fuzzy optimization
  • Mean–variance model
  • Portfolio selection
  • Robust optimization

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