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Everything about Portfolio optimization
Process of selecting a portfolio
Portfolio optimization is the process of selecting an optimal portfolio, out of a set of considered portfolios, according to some objective. The objective typically maximizes factors such as expected return, and minimizes costs like financial risk, resulting in a multi-objective optimization problem. Factors being considered may range from tangible to intangible. Wikipedia →
🧭 Start here: a 6-step reading path
- Read the overview: Portfolio optimizationA 5-minute orientation
- Skim a recent paper: Meta-heuristics for portfolio optimizationInfluential work since 2022
- Pick up a classic book: Portfolio optimizationThe most-reprinted book on the subject
- Read the landmark paper: Global Portfolio OptimizationCited 1,458 times
- Go sideways: Markowitz modelA closely related topic
- Go sideways: Modern portfolio theoryA closely related topic
📖 Definitions
No dictionary entry for this exact phrase.
🗂️ The subject at a glance
🏆 Landmark papers (most cited)
Global Portfolio Optimization
Large-Scale Portfolio Optimization
Particle swarm optimization approach to portfolio optimization
Portfolio Optimization in Practice
Anticipative portfolio optimization
Robust Portfolio Optimization
Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach
Enhanced Portfolio Optimization
🆕 Influential since 2022
📚 Books worth reading
Portfolio optimizationMichael J. Best · 2010- 📕Metaheuristics for Portfolio OptimizationG. A. Vijayalakshmi Pai · 2017
Multicriteria portfolio managementPanos Xidonas · 2012
Continuous-time stochastic control and optimization with financial applicationsHuyên Pham · 2009
Optimal Models and Methods with Fuzzy QuantitiesBing-Yuan Cao · 2010
Dynamic Portfolio StrategiesNikolai Dokuchaev · 2002
Robust Portfolio Optimization and ManagementFrank J. Fabozzi · 2007
Bond Portfolio OptimizationMichael Puhle · 2008
Ranked by number of editions on Open Library, a rough measure of how lasting a book is.
🔗 Related topics
- Markowitz model In finance, the Markowitz model ─ put forward by Harry Markowitz in 1952 ─ is a portfolio optimization model; it assists in the selection of the most efficient…
- Modern portfolio theory Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of financial assets such that the expected…
- Black–Litterman model In finance, the Black–Litterman model is a mathematical model for portfolio allocation developed in 1990 at Goldman Sachs by Fischer Black and Robert Litterman…
- Portfolio (finance) In finance, a portfolio is a collection of investments. The term "portfolio" refers to any combination of financial assets such as stocks, bonds and cash…
- Resampled efficient frontier Resampled efficient frontier is a technique in investment portfolio construction under modern portfolio theory to use a set of portfolios and then average…
- Goal-based investing Goals-Based Investing or Goal-Driven Investing (sometimes abbreviated GBI) is the use of financial markets to fund goals within a specified period of time…
- Hierarchical Risk Parity Hierarchical Risk Parity (HRP) is an advanced investment portfolio optimization framework developed in 2016 by Marcos López de Prado. HRP is a probabilistic…
- Efficient frontier In modern portfolio theory, the efficient frontier (or portfolio frontier) is an investment portfolio which occupies the "efficient" parts of the risk–return…