A comprehensive review of deterministic models and applications for mean-variance portfolio optimization

作者：

Highlights：

• A survey dedicated to mean-variance portfolio optimization is conducted.

• A total of 175 papers published between 1998 and 2018 are selected and reviewed.

• Deterministic models, including those with real-life constraints are studied.

• The approaches are classified according to exact and inexact attempts in depth.

摘要

•A survey dedicated to mean-variance portfolio optimization is conducted.•A total of 175 papers published between 1998 and 2018 are selected and reviewed.•Deterministic models, including those with real-life constraints are studied.•The approaches are classified according to exact and inexact attempts in depth.

论文关键词：Mean-variance,Portfolio optimization,Literature survey,Portfolio constraints,Exact and heuristic algorithms

论文评审过程：Received 14 July 2018, Revised 6 February 2019, Accepted 7 February 2019, Available online 7 February 2019, Version of Record 14 February 2019.

论文官网地址：https://doi.org/10.1016/j.eswa.2019.02.011