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.

0 Comments:
Post a Comment
<< Home