[R-SIG-Finance] portfolio optimization

[Xiao Sun]

It might be help,
 
Portfolio Optimisation Models and Properties of Return Distributions, (2005) G Mitra, D Roman, KH Darby-Dowman, Mathematical Programming Journal,
 
Integrating market and credit risk: A simulation and optimisation perspective, (2005) N J Jobst, G Mitra, S Zenios to appear in Journal of Banking and Finance.
 

Quadratic programming for portfolio planning: Insights into algorithmic and computational issues
Part I - Solving a family of QP models


Quadratic programming for portfolio planning: Insights into algorithmic and computational issues Part II - Processing of portfolio planning models with discrete constraints

regards,
MC

________________________________

From: r-sig-finance-bounces at stat.math.ethz.ch on behalf of kriskumar at earthlink.net
Sent: Thu 10/07/2008 01:42
To: markleeds at verizon.net; r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] portfolio optimization



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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