Open Access
American Research Journal of Business and Management
ISSN (Online): 2379-1047
DOI: 10.46568/arjbm
Portfolio Optimization: Exploring Markowitz Models and Modern Approaches for Effective Frontier Analysis
Investment portfolio manager, MBA, Almaty, Kazakhstan.
Zharmagambetov Yernar, “Portfolio Optimization: Exploring Markowitz Models and Modern Approaches for
Effective Frontier Analysis”, American Research Journal of Business and Management, Vol 11, no. 1, 2025, pp. 1-5.
Abstract
The article discusses approaches to optimizing investment portfolios with an emphasis on the Markowitz model, as well
as other mathematical methods. As the purpose of the work, it was chosen to study algorithms for building portfolios,
analyze the effective front, identify key characteristics of models, and identify their limitations.
The materials of the article are based on methods including the Markowitz model, stochastic algorithms, and evolutionary
approaches. Covariance matrices, forecasting returns, accounting for asymmetric risks, and the impact of market volatility
are studied. A comparative analysis of classical methods and modern solutions, such as robust optimization, machine
learning, is carried out.
The conclusions of the article confirm the applicability of the Markowitz model in stable market conditions with rational
strategies of participants. However, market instability creates limitations for the use of this model. Modern approaches
demonstrate adaptability, resistance to uncertainty, and require significant computing resources.
The information reflected in the framework of the work, based on the study of literary sources, will be useful for studying
by specialists working in the field of economics, financial analysis, asset management. The practical value of the work lies
in the analysis of existing methods aimed at reducing risks, which will improve the profitability of portfolios.
