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  • Subject: portfolio management, risk, portfolio models, volatility
    • jel: jel:G19

In recent years, a growing body of literature in portfolio management has devoted a great deal of attention for this subject. The theoretical foundation to portfolio management was offered by Harry Markowitz at the beginning of the 1950s. The limitations of the original Markowitz model have stimulated the occurrence of extended or modified models – two of the best known (and criticized) being the equilibrium models: CAPM (capital asset pricing model) and APT (arbitrage pricing theory). Alternative optimization methods were also developed; among them must be mentioned: the utility function optimization, conditional value-at-risk optimization, multiple benchmark tracking, scenario-based optimization, robust statistical methods and the Bayesian methods. The present paper provides a selective overview of existing models and methods regarding portfolio management and optimization since 1952 (Markowits model) and synthesizes the academic research to date.
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