Abstract
It is widely known that the Markowitz formulation of the portfolio optimization problem, based on maximizing expected return and minimizing risk, is the main pillar of the portfolio management theoretical foundations. Nevertheless, its limited impact in investment management practice is also widely recognized1, which has fostered new approaches to the portfolio optimization problem.
Original language | English |
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Title of host publication | Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds |
Editors | Arjan B. Berkelaar, Joachim Coche, Ken Nyholm |
Place of Publication | London |
Publisher | Palgrave Macmillan |
Pages | 134-157 |
DOIs | |
Publication status | Published - 2009 |
Externally published | Yes |