[R-sig-finance] Brush-style gradient maximization?

Vivek Satsangi vivek.satsangi at gmail.com
Wed Feb 8 15:22:29 CET 2006


Has anyone on this list done a Brush/Shock (1995) style gradient
maximization portfolio construction  thing in R or Splus? If someone
has the beginings of something, this might be something I am
interested in helping implement....

Herr Doktor Würtz? Is this something that interests you? The
omniscient Mr. Krishna Kumar?
Dr. Graves?

[1995] Brush, John S. and Schock, V., JPM, Summer 1995, pp 89 to 98

p.s. Is the correct spelling of Dr. Diethelm's last name "Wuertz"
instead? Or is the 'e' added in in places where the umlaut cannot be
reproduced? I have seen both spellings, and don't want to rudely
incorect / disrespectful of such a great scholar.

-- Vivek Satsangi
Student, Rochester, NY USA

"Maybe in order to understand mankind, we have to look at the word
itself. Mankind. Basically, it's made up of two separate words --
'mank' and 'ind.' What do these words mean? It's a mystery, and that's
why so is mankind."
-Deep Thoughts by Jack Handey

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