---
title: Portfolio Optimization Numerical Integration
url: https://www.ml-quant.com/papers/repec/eee-matcom-v-219-y-2024-i-c-p-112-140/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:eee:matcom:v:219:y:2024:i:c:p:112-140
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0378475423005189%3Bh%3Drepec%3Aeee%3Amatcom%3Av%3A219%3Ay%3A2024%3Ai%3Ac%3Ap%3A112-140
featured: 2024-03-20
citations: unknown
topic: Portfolio & Allocation
---


# Portfolio Optimization Numerical Integration

The paper introduces an efficient numerical integration method for Mean-Variance portfolio optimization, demonstrating its effectiveness in various investment scenarios.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0378475423005189%3Bh%3Drepec%3Aeee%3Amatcom%3Av%3A219%3Ay%3A2024%3Ai%3Ac%3Ap%3A112-140
- Identifier: RePEc:eee:matcom:v:219:y:2024:i:c:p:112-140
- Released: 2024-03-20
- First featured: Quant Letter No. 41 (2024-03-20): https://www.ml-quant.com/issues/2024-03-20/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [Overcoming Markowitz's Instability with the Help of the Hierarchical Risk Parity (HRP): Theoretical Evidence](https://www.ml-quant.com/papers/ssrn/4748151/): The paper shows the hierarchical risk parity (HRP) approach is superior to the traditional Markowitz portfolio allocation method in terms of noise reduction and robustness.
- [Untangling Universality and Dispelling Myths in Mean–Variance Optimization](https://www.ml-quant.com/papers/ssrn/4747461/): The article discusses the widespread use of mean-variance optimization in quantitative finance, dispels associated myths, and introduces the concept of mean-variance-equivalent distributions.
- [ESG and Behavioral Finance: Why ESG Investing Is Primarily a Psychological Phenomenon](https://www.ml-quant.com/papers/ssrn/4786610/): A Psychological Phenomenon: The study expands traditional portfolio selection and asset pricing theory to include ESG investing, introducing two behavioral innovations related to investor preferences and biased judgments about ESG impact and return distributions.
- [Portfolio Optimization under Transaction Costs with Recursive Preferences](https://www.ml-quant.com/papers/arxiv/2402.08387/): The Merton investment-consumption problem is expanded to incorporate transaction costs and stochastic differential utility, using new math techniques to understand all parameter combinations and previously difficult aspects.
- [Portfolio Construction and Risk Management](https://www.ml-quant.com/papers/ssrn/4807200/): A crowdfunding campaign is underway to fund a book on portfolio construction and risk management, featuring a guide to a next-generation investment framework and Python code.
- [FDR-Controlled Portfolio Optimization for Sparse Financial Index Tracking](https://www.ml-quant.com/papers/arxiv/2401.15139/): A new method for selecting important variables in complex data analysis, such as financial index tracking, has been developed, which manages the rate of false discoveries and handles groups of highly related variables.