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

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  • Yuanyuan Zhang

    (Beijing University of Chemical Technology)

  • Xiang Li

    (Beijing University of Chemical Technology)

  • Sini Guo

    (Beijing University of Chemical Technology)

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.

Suggested Citation

  • Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
    • Handle: RePEc:spr:fuzodm:v:17:y:2018:i:2:d:10.1007_s10700-017-9266-z
    DOI: 10.1007/s10700-017-9266-z
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