CVaR

After switching to use the GPL open source linear optimizer lp_solve I can now optimize an asset allocation with a CVaR objective. It does not look quite as exciting as I had hoped, and it is slow, but it will be an interesting new tool in the toolbox.

Next stop will probably be back to work on some Black-Litterman ideas and maybe providing some richer (but accessible) tools which implement it. I still have in the back of my mind that I'd like to know if using posterior variance makes the results better or worse. I would also like to come up with a standard set of data to apply across all the various methods so that they could be compared apples to apples in one place.

Always lots to do.