Research on diversification portfolio optimization model and method

  • ZHAO Hongxin ,
  • KONG Lingchen
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  • School of Mathematics and Statistics, Beijing Jiaotong University, Beijing 100044, China

Received date: 2023-09-25

  Online published: 2026-03-16

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.

Cite this article

ZHAO Hongxin , KONG Lingchen . Research on diversification portfolio optimization model and method[J]. Operations Research Transactions, 2026 , 30(1) : 75 -92 . DOI: 10.15960/j.cnki.issn.1007-6093.2026.01.005

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