1. Send comments or questions.
  2. Full Name*
    Please enter your full name.
  3. Company*
    Please enter your company
  4. E-mail*
    Invalid email address.
  5. Phone #
    Invalid Input
  6. Subject*
    Please make a selection
    Invalid Input
  8. *
    Just a simple security measure to prove you are a human.
  9. * = Required

The Portfolio Optimization Dilemma

October 19, 2004
Sunil O. Kothari

In 1952, Harry Markowitz introduced modern portfolio theory and optimization to the world of finance when his paper “Portfolio Selection” appeared in the Journal of Finance. Since then, portfolio optimization has become a popular topic of research in both industry and academia. Despite its sustained popularity, optimization still causes a great deal of confusion. Although the term portfolio optimization itself implies a superior means of choosing allocations, many portfolio managers still choose to rely on heuristic approaches rather than utilizing optimization programs. While the theory behind these programs is sound, there are a number of practical issues that arise when implementing them as a stand-alone portfolio management tool.

View Full Article