The Portfolio Management Problem

Elissaios Sarmas, Panos Xidonas and Haris Doukas
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Elissaios Sarmas: National Technical University of Athens
Panos Xidonas: ESSCA École de Management
Haris Doukas: National Technical University of Athens

Chapter Chapter 2 in Multicriteria Portfolio Construction with Python, 2020, pp 5-17 from Springer

Abstract: Abstract This chapter focuses on the portfolio management problem, and more specifically, the mean–variance model introduced by Harry Markowitz. The problem of portfolio optimization was introduced as a quadratic mathematical programming problem. Since then, the development in this field was rapid, as many scientists have attempted to improve this methodology and cure its weaknesses. In discussing the various portfolio theory techniques, we will adhere to standard notation such as in Xidonas et al. The presentation of the mean–variance methodological framework is developed in three sections.

Date: 2020
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DOI: 10.1007/978-3-030-53743-2_2

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