survey

A Survey on Gaps between Mean-Variance Approach and Exponential Growth Rate Approach for Portfolio Optimization

Authors:

Haisheng YangAuthors Info & Claims

ACM Computing Surveys (CSUR), Volume 55, Issue 2

Article No.: 25, Pages 1 - 36

https://doi.org/10.1145/3485274

Published: 19 January 2022 Publication History

Abstract

Portfolio optimization can be roughly categorized as the mean-variance approach and the exponential growth rate approach based on different theoretical foundations, trading logics, optimization objectives, and methodologies. The former and the latter are often used in long-term and short-term portfolio optimizations, respectively. Although the mean-variance approach could be applied to short-term portfolio optimization, the performance may not be satisfactory (same with the exponential growth rate approach to the long-term portfolio optimization). This survey mainly explores the gaps between these two approaches, and investigates what common ideas or mechanisms are beneficial. Besides, the evaluating framework of this field and some unsolved problems are also discussed.

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Index Terms

A Survey on Gaps between Mean-Variance Approach and Exponential Growth Rate Approach for Portfolio Optimization
1. Computing methodologies
  1. Artificial intelligence
  2. Machine learning
2. Information systems
  1. Information systems applications
    1. Data mining

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cover image ACM Computing Surveys

ACM Computing Surveys Volume 55, Issue 2

February 2023

803 pages

ISSN:0360-0300

EISSN:1557-7341

DOI:10.1145/3505209

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Albert Zomaya
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Published: 19 January 2022

Accepted: 01 September 2021

Revised: 01 May 2021

Received: 01 November 2020

Published in CSUR Volume 55, Issue 2

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