Risk–return trade-off and optimal portfolio construction: an analytical approach
Abstract
The risk–return relationship is a core pillar of financial theory and modern portfolio management, particularly in environments characterized by high volatility, macroeconomic uncertainty, and increasing market complexity. This literature review aims to systematically analyze recent theoretical and analytical advances in optimal portfolio construction, based on scientific evidence published between 2021 and 2025. Using the PRISMA methodology, a total of 50 high-quality peer-reviewed articles indexed in Scopus, Web of Science, Scielo, and DOAJ were selected, with individual DOI verification and structured data extraction. The findings reveal a clear evolution from the traditional mean–variance framework toward more advanced analytical approaches incorporating non-linear risk measures, optimization under real-market constraints, robust models, and emerging sustainability considerations. The reviewed evidence indicates that inadequate risk management in portfolio construction not only reduces financial efficiency but also amplifies systemic vulnerability, negatively affecting economic growth and market stability, particularly in emerging economies. Accordingly, this study is directly aligned with the Sustainable Development Goals, notably SDG 8 (Decent Work and Economic Growth) and SDG 9 (Industry, Innovation and Infrastructure), by supporting more efficient and responsible capital allocation. This review identifies persistent research gaps and outlines future research directions focused on developing resilient and sustainable optimal portfolio models.
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References
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