分散化投资组合的优化模型和方法研究

doi:10.15960/j.cnki.issn.1007-6093.2026.01.005

Abstract

Abstract: Portfolio selection is an important topic in the financial field. Under a series of basic assumptions, economist Markowitz established the mean-variance model in 1952. Then, the study of modern portfolio theory began. Effective diversification is the key to reduce risks and increase returns. This paper starts from mean-variance model and reviews the diversified portfolio strategies. We focus on the portfolio optimization model and solution method under regularization. Finally, we briefly introduce some of our recent work and put forward prospects and ideas based on current research hotspots.

Key words: portfolio optimization, estimation error, diversification, risk function

CLC Number:

O221.2

ZHAO Hongxin, KONG Lingchen. Research on diversification portfolio optimization model and method[J]. Operations Research Transactions, 2026, 30(1): 75-92.

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Research on diversification portfolio optimization model and method

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