Portfolio Optimization
Markowitz mean-variance, robust portfolios, and dynamic strategies.
Portfolio Optimization. Markowitz mean-variance, robust portfolios, and dynamic strategies.
Foundations and canonical references
The standard treatments of portfolio optimization approach the subject from complementary angles. Pham, Continuous-Time Stochastic Control and Optimization with Financial Applications (2009) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to.
Supporting and adjacent work
A number of supporting contributions sharpen specific aspects of portfolio optimization or connect it to neighbouring problems. Portfolio Selection (Markowitz, 1952) contributes to this area as one of the supporting references that inform current practice.
Open methodological questions for portfolio optimization include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
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- textbook · primary · 2009Continuous-Time Stochastic Control and Optimization with Financial Applicationspham-2009
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