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 …

Several portfolio selection models take into account practical limitations on the number of
assets to include and on their weights in the portfolio. We present here a study of the Limited …

Academics and practitioners optimize portfolios using the mean-variance approach far more
often than the mean-semivariance approach, despite the fact that semi-variance is often …

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 …

Portfolio optimization involves the optimal assignment of limited capital to different available
financial assets to achieve a reasonable trade-off between profit and risk. We consider an …

Mean-variance portfolio optimization when means and covariances are unknown Page 1 The
Annals of Applied Statistics 2011, Vol. 5, No. 2A, 798–823 DOI: 10.1214/10-AOAS422 © Institute …

In this paper, we extend the multi-period mean–variance optimization framework to worst-
case design with multiple rival return and risk scenarios. Our approach involves a min–max …

An ongoing stream in financial analysis proposes mean‐semivariance in place of mean‐
variance as an alternative approach to portfolio selection, since segments of investors are …

The pioneering work of the mean–variance formulation proposed by Markowitz in the 1950s
has provided a scientific foundation for modern portfolio selection. Although the trade …

Over the years, portfolio optimization remains an important decision-making strategy for
investment. The most familiar and widely used approach in the field of portfolio optimization …