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- W2912000148 endingPage "368" @default.
- W2912000148 startingPage "345" @default.
- W2912000148 abstract "Abstract Portfolio optimization is the process of determining the best combination of securities and proportions with the aim of having less risk and obtaining more profit in an investment. Utilizing covariance as a risk measure, mean-variance portfolio optimization model has brought a revolutionary approach to quantitative finance. Since then, along with the advancements in computational power and algorithmic enhancements, a lot of efforts have been made on improving this model by considering real-life conditions and solving model variants with various methodologies tested on various data and performance measures. A comprehensive literature review of recent and novel papers is crucial to establish a pattern of the past, and to pave the way on future directions. In this paper, a total of 175 papers published in the last two decades are selected within the scope of operations research community and reviewed in detail. Thus, a comprehensive survey on the deterministic models and applications suggested for mean-variance portfolio optimization in which several variants of this model as well as additional real-life constraints are studied. The review classifies the approaches according to exact and approximate attempts and analyzes the proposed algorithms based on various data and performance indicators in depth. Areas of future research are outlined." @default.
- W2912000148 created "2019-02-21" @default.
- W2912000148 creator A5012187502 @default.
- W2912000148 creator A5028222363 @default.
- W2912000148 creator A5059437165 @default.
- W2912000148 date "2019-07-01" @default.
- W2912000148 modified "2023-09-29" @default.
- W2912000148 title "A comprehensive review of deterministic models and applications for mean-variance portfolio optimization" @default.
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