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Portfolio Selection: A Review

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  • Jérôme Detemple

    (Boston University School of Management)

Abstract

This paper reviews portfolio selection models and provides perspective on some open issues. It starts with a review of the classic Markowitz mean-variance framework. It then presents the intertemporal portfolio choice approach developed by Merton and the fundamental notion of dynamic hedging. Martingale methods and resulting portfolio formulas are also reviewed. Their usefulness for economic insights and numerical implementations is illustrated. Areas of future research are outlined.

Suggested Citation

  • Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
    • Handle: RePEc:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-012-0208-1
    DOI: 10.1007/s10957-012-0208-1
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