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JEL Classification System

C44, C61, E61, G11, G32

Abstract

One of the essential concerns of investors of all time is to choose the best investment opportunities to capitalize on the value of their investment in stocks. Its objective is to minimize risk and at the same time also maximize return. This refers to portfolio optimization as the procedure of choosing the weights of a number of stocks to be included in a portfolio so that the optimum objective is achieved. Several studies have been shown by economists, mathematicians, and practitioners that provided sufficient and critical information for conducting stock portfolios. Approaches, methodologies, and techniques in those researches have to be reviewed for purposes of synthesis of published research in this area, insight into how to carry similar studies, and criticize gaps to be filled in the future research. In this report, we adopted a thematic review of stock portfolio optimization theories and applications, including some current issues on Shariah stock portfolio. A comprehensive overview of theories and approaches for stock portfolio selection, both fundamental and technical, is presented. The report will end with an overview of the mathematical model (exact and heuristic) for solving stock portfolio optimization problems.

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