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.
So my latest interest is in State/Preference theory and how it relates to Portfolio Optimization. I read William Sharpe's new book, but it mostly had to do with asset pricing and the market, and very little with regards to trying to just use quintiles to optimize a portfolio. I'm working on building some code to do this. It is supposed to be more robust to estimation error, and more stable over time.
posted by Jay @ 7:22 PM
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.
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