[R-SIG-Finance] portfolio optimization

kriskumar at earthlink.net kriskumar at earthlink.net
Thu Jul 10 02:42:22 CEST 2008

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.


------Original Message------
From: markleeds at verizon.net
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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