[R-SIG-Finance] portfolio optimization

[kriskumar at earthlink.net]

There is an interesting paper on optimization with sorts by Almgren and Chriss. This takes ordering information to compute the optimal portfolio. There was an earlier post here on this which you will find in the list archives.

Cheers
Krishna

------Original Message------
From: markleeds at verizon.net
Sender: 
To: r-sig-finance at stat.math.ethz.ch
Sent: Jul 9, 2008 18:00
Subject: [R-SIG-Finance] portfolio optimization

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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