A Comparison of Portfolio Optimization Algorithms Based on Russian Companies' Securities

Student: Kuzmin Pavel

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Economics (Bachelor)

Year of Graduation: 2018

In this paper, an overview of algorithms in the optimal portfolio selection problem field of study is provided. These algorithms include mean-variance approach, mean-Gini optimization, minimax rule, and generalized approach of Landsman et al. Plus, some other algorithms may take place but not be taken into consideration. Analytical and numerical comparison between algorithms is performed. For one algorithm, generalized approach, detailed review is present, including some notes on mathematical apparatus performed in the premiere article. Reasonable conclusions are made and proved by numerical illustrations.

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