Review of approaches to the application of H. Markowitz’s portfolio selection model
The article analyzes studies on the formation of a portfolio of securities. It is noted that the development of the securities market contributes to the expansion of investment activity, which imposes new requirements for assessing the effectiveness of financial investments. The scientific work describes the wellknown mathematical model of Markowitz in the classical formulation, examples of its implementation by foreign and domestic economists are considered. Weaknesses and strengths of the model are revealed, as well as the possibility of its modification, including the use of methods of robust optimization and linearquadratic control. Special attention is paid to alternative risk measures that take into account negative deviations of returns. Based on the analysis carried out, conclusions were drawn about the limitations of the practical application of the Markowitz model. Directions for further research in this area are determined.