Time is coming to celebrate the 60th anniversary from the pioneering work of Markowitz on portfolio selection. His main contribution was to understand that investment decisions did not merely rely on which securities to own, but on how to divide the investor's wealth amongst securities, thus individuating in the portfolio diversification a key issue to focus on. This approach literally shivered the world of finance, and traced the path along which researchers and practitioners are still moving on. This paper is intended to provide a review on the state of the art for portfolio optimization sixty years later, pointing on the issues that still remain challenging, and identifying the key patents that have emerged in this field.
Portfolio Optimization: new challenges and perspectives
RESTA, MARINA
2012-01-01
Abstract
Time is coming to celebrate the 60th anniversary from the pioneering work of Markowitz on portfolio selection. His main contribution was to understand that investment decisions did not merely rely on which securities to own, but on how to divide the investor's wealth amongst securities, thus individuating in the portfolio diversification a key issue to focus on. This approach literally shivered the world of finance, and traced the path along which researchers and practitioners are still moving on. This paper is intended to provide a review on the state of the art for portfolio optimization sixty years later, pointing on the issues that still remain challenging, and identifying the key patents that have emerged in this field.
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