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portfolio optimization
Portfolio optimization is the process of choosing the proportions of various assets to be held in a portfolio, in such a way as to make the portfolio better than any other according to some criterion. The criterion will combine, directly or indirectly, considerations of the expected value of the portfolio's rate of return as well as of the return's dispersion and possibly other measures of financial risk.
==Efficient portfolios==
Modern portfolio theory, fathered by Harry Markowitz〔 (reprinted by Yale University Press, 1970, ISBN 978-0-300-01372-6; 2nd ed. Basil Blackwell, 1991, ISBN 978-1-55786-108-5)〕 in the 1950s, assumes that an investor wants to maximize a portfolio's expected return contingent on any given amount of risk, with risk measured by the standard deviation of the portfolio's rate of return. For portfolios that meet this criterion, known as efficient portfolios, achieving a higher expected return requires taking on more risk, so investors are faced with a trade-off between risk and expected return. This risk-expected return relationship of efficient portfolios is graphically represented by a curve known as the efficient frontier. All efficient portfolios, each represented by a point on the efficient frontier, are well-diversified. For the specific formulas for efficient portfolios,〔Merton, Robert. September 1972. "An analytic derivation of the efficient portfolio frontier," ''Journal of Financial and Quantitative Analysis'' 7, 1851-1872.〕 see Portfolio separation in mean-variance analysis.
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
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