Portfolio Optimization

Portfolio Optimization is a quantitative decision-making process within financial analytics that determines the optimal allocation of capital across a set of assets or projects by balancing risk and return objectives under specified constraints.

Publications

260.7K

Citations

6.8K

Authors

2.2K

Institutions

Publications per year

2017–2026

1.2K

Parents

Capital Improvement PlanningDecision AnalyticsInsurance AnalyticsPortfolio ManagementQuantitative Finance

Children

Dynamic Portfolio RebalancingFactor-based Portfolio OptimizationMean-cvar OptimizationMonte Carlo Portfolio SimulationPrivate Equity Portfolio OptimizationReal Estate Portfolio OptimizationTail Risk OptimizationTurnover Constraints

Publications

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

Business, Finance, Risk Management +17

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations

Social Sciences, Economics, Finance +16

Portfolio Selection: Efficient Diversification of Investments

Alan Stuart, Harry M. Markowitz · OR · 1959 · 5.6K citations

Business, Finance, Financial Management +14

The Price of Robustness

Dimitris Bertsimas, Melvyn Sim · Operations Research · 2004 · 4.4K citations

Natural Sciences, Mathematics, Optimization +15

Portfolio Selection: Efficient Diversification of Investments.

H. S. Houthakker, Harry M. Markowitz · Journal of the American Statistical Association · 1962 · 3.7K citations

Business, Economics, Finance +17

1–5 of 4K

Authors

6.8K

MK
Mukesh Kumar Mehlawat
University of Delhi, India
26 publications · 1.5K citations
22
h-index
DL
Duan Li
Chinese University of Hong Kong, Hong Kong SAR China
27 publications · 3.3K citations
21
h-index
FJ
Frank J. Fabozzi
Ecole des Hautes Etudes Commerciales du Nord, France
24 publications · 1.7K citations
20
h-index
SW
Shouyang Wang
Chinese Academy of Sciences, China
23 publications · 1.7K citations
19
h-index
PG
Pankaj Gupta
University of Delhi, India
23 publications · 1.1K citations
19
h-index

1–5 of 6.8K

Institutions

2.2K

1–8 of 2.2K

Venues

European Journal of Operational Research
188 publications · 13.1K citations
64
h-index
Expert Systems with Applications
129 publications · 7.5K citations
49
h-index
Management Science
72 publications · 11.5K citations
45
h-index
SSRN Electronic Journal
Repository · 198 publications · 7.2K citations
44
h-index
The Journal of Finance
80 publications · 13.1K citations
40
h-index

1–5