A Summary of the Practical Application of Portfolio Theory and its Development Trend
Zhao Qin · Zhejiang Sheng Zheng-Fa Guanli Ganbu Xueyuan xuebao · 2015
Markowitz's classic paper Portfolio Selection in 1952 opens the financial mathematical analysis,portfolio model in theory and practical application faces development and challenges,including transaction costs,combination of constraint,the model of income and the sensitivity of the variance. In addition,portfolio optimization and other areas also faces new development trends,such as diversified methods,risk parity model,return from different views,and many multi-period optimization problems. Whether it is viewed from the perspective of academic perspective or practice,this paper is an important supplement to portfolio optimization model.