[R-SIG-Finance] portfolio optimization

markleeds at verizon.net markleeds at verizon.net
Thu Jul 10 00:00:11 CEST 2008

does anyone know of academic literature on optimization in finance where 
one has the probabilities of the assets being up or down rather than the
expected returns of the assets ? ( and also covariance matrix).  i think 
i  saw something in the past somewhere but i could be mistaken. thanks.

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