Jay's Asset Allocation Blog

Blog about my off-hours work on the problem of Asset Allocation including but not limited to Portfolio Optimization algorithms, algorithms and approaches for improved estimation of Asset Allocation inputs and other potentially related items.

Monday, September 10, 2007

Optimization Update

Tonite I checked in some of the State/Preference logic I've been working on lately, haven't built it into the applet for running on the site, but should get to that soon. There are two methods, one which optimizes entirely in state/preference space and then transforms into risk/return space and another which minimizes state/preference covariance subject to a constraint on return. Both methods can lead to kinked efficient frontiers unfortunately.

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