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Portfolio Optimization

Burcu Adıgüzel Mercangöz ()
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Burcu Adıgüzel Mercangöz: Istanbul University

Chapter Chapter 2 in Applying Particle Swarm Optimization, 2021, pp 15-27 from Springer

Abstract: Abstract In portfolio management, it is aimed to create a portfolio that gives the best combination of risk and return among the assets in the market. There are different optimization techniques for creating an optimum portfolio depending on the risk and return variable. Particle swarm optimization (PSO) method is one of the important and useful techniques used in portfolio optimization in finance. In this chapter, Markowitz mean-variance model, which is the main model of modern portfolio theory, is explained, and mathematical representations are given. The subject is supported with mathematical notations by mentioning concepts such as portfolio risk and return, efficient frontier, utility theory, asset allocation, indifference curves, Sharpe ratio, and coefficient of variation.

Keywords: Markowitz mean-variance model; Efficient frontier; Sharpe ratio; Coefficient of variation; Utility theory; Asset allocation; Indifference curves (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/978-3-030-70281-6_2

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