Bibliometric analysis of risk measures for portfolio optimization
Portfolio optimization aims to minimize risk and maximize return on investment by determining the best combination of securities and proportions. The variance in portfolio optimization models is typically used for a measure of risk. Over the last few decades, portfolio optimization utilizin...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2023-01-01
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| Series: | Accounting |
| Online Access: | http://www.growingscience.com/ac/Vol9/ac_2022_18.pdf |
| _version_ | 1797934908038971392 |
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| author | Hossein Ghanbari Mojtaba Safari Rouzbeh Ghousi Emran Mohammadi Nawapon Nakharutai |
| author_facet | Hossein Ghanbari Mojtaba Safari Rouzbeh Ghousi Emran Mohammadi Nawapon Nakharutai |
| author_sort | Hossein Ghanbari |
| collection | DOAJ |
| description | Portfolio optimization aims to minimize risk and maximize return on investment by determining the best combination of securities and proportions. The variance in portfolio optimization models is typically used for a measure of risk. Over the last few decades, portfolio optimization utilizing a variety of risk measures has grown significantly, and many studies have been conducted. Therefore, this paper provides a systematic review of risk measures for portfolio optimization using bibliometric analysis and maps to analyze the evolution and trends of 682 articles published between 2000 and 2022. Throughout this analysis, communication networks among articles, authors, sources, countries, and keywords are explored. Furthermore, a classification of risks and risk measures were presented to demonstrate a comprehensive overview of the field, and the top 50 papers were analyzed to determine which risk measures were most often used in recent studies. |
| first_indexed | 2024-04-10T18:06:12Z |
| format | Article |
| id | doaj.art-8e7671f88e154ef98ec1234d2813df31 |
| institution | Directory Open Access Journal |
| issn | 2369-7393 2369-7407 |
| language | English |
| last_indexed | 2024-04-10T18:06:12Z |
| publishDate | 2023-01-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Accounting |
| spelling | doaj.art-8e7671f88e154ef98ec1234d2813df312023-02-02T13:02:54ZengGrowing ScienceAccounting2369-73932369-74072023-01-01929510810.5267/j.ac.2022.12.003Bibliometric analysis of risk measures for portfolio optimizationHossein GhanbariMojtaba SafariRouzbeh GhousiEmran Mohammadi Nawapon Nakharutai Portfolio optimization aims to minimize risk and maximize return on investment by determining the best combination of securities and proportions. The variance in portfolio optimization models is typically used for a measure of risk. Over the last few decades, portfolio optimization utilizing a variety of risk measures has grown significantly, and many studies have been conducted. Therefore, this paper provides a systematic review of risk measures for portfolio optimization using bibliometric analysis and maps to analyze the evolution and trends of 682 articles published between 2000 and 2022. Throughout this analysis, communication networks among articles, authors, sources, countries, and keywords are explored. Furthermore, a classification of risks and risk measures were presented to demonstrate a comprehensive overview of the field, and the top 50 papers were analyzed to determine which risk measures were most often used in recent studies.http://www.growingscience.com/ac/Vol9/ac_2022_18.pdf |
| spellingShingle | Hossein Ghanbari Mojtaba Safari Rouzbeh Ghousi Emran Mohammadi Nawapon Nakharutai Bibliometric analysis of risk measures for portfolio optimization Accounting |
| title | Bibliometric analysis of risk measures for portfolio optimization |
| title_full | Bibliometric analysis of risk measures for portfolio optimization |
| title_fullStr | Bibliometric analysis of risk measures for portfolio optimization |
| title_full_unstemmed | Bibliometric analysis of risk measures for portfolio optimization |
| title_short | Bibliometric analysis of risk measures for portfolio optimization |
| title_sort | bibliometric analysis of risk measures for portfolio optimization |
| url | http://www.growingscience.com/ac/Vol9/ac_2022_18.pdf |
| work_keys_str_mv | AT hosseinghanbari bibliometricanalysisofriskmeasuresforportfoliooptimization AT mojtabasafari bibliometricanalysisofriskmeasuresforportfoliooptimization AT rouzbehghousi bibliometricanalysisofriskmeasuresforportfoliooptimization AT emranmohammadi bibliometricanalysisofriskmeasuresforportfoliooptimization AT nawaponnakharutai bibliometricanalysisofriskmeasuresforportfoliooptimization |