Fifty years of portfolio optimization
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Volume Title
A2 Katsausartikkeli tieteellisessä aikakauslehdessä
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Date
2024-10-01
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Mcode
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Language
en
Pages
18
Series
European Journal of Operational Research, Volume 2024, issue 318/1, pp. 1-18
Abstract
The allocation of resources to alternative investment opportunities is one of the most important decisions organizations and individuals face. These decisions can be guided by building and solving portfolio optimization models that capture the salient aspects of the investment problem, including decision-makers’ preferences, multiple objectives, and decision opportunities over the planning horizon. In this paper, we give a historically grounded overview of portfolio optimization which, as a field within operational research with roots in finance, is vast thanks to many decades of research and the huge diversity of problems that have been tackled. In particular, we provide a unified and therefore unique treatment that covers the full breadth of portfolio optimization problems, including, for instance, the allocation of resources to financial assets and the selection of indivisible assets such as R&D projects. We also identify opportunities for future methodological and applied research, hoping to inspire researchers to contribute to the growing field of portfolio optimization.Description
Invited Review in Celebration of the 50th Anniversary of EURO Funding Information: We thank three anonymous reviewers and Jyrki Wallenius for their constructive feedback. This research was supported by the Academy of Finland (grant number 323800 ). Publisher Copyright: © 2024 The Authors
Keywords
Multiattribute value/utility theory, Multicriteria decision aiding, Portfolio decision analysis, Portfolio optimization, Resource allocation
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Citation
Salo, A, Doumpos, M, Liesiö, J & Zopounidis, C 2024, ' Fifty years of portfolio optimization ', European Journal of Operational Research, vol. 2024, no. 318/1, pp. 1-18 . https://doi.org/10.1016/j.ejor.2023.12.031
