[R-SIG-Finance] LSPM - Unexpected Results

[Noah Silverman]

Mark,

Clearly this is a THEORETICAL value.  One of the first things I ever
learned about finance was that past performance is not a predictor of
future performance.  Since the portfolio optimization is based on past
returns, then its obvious we don't expect the same performance in the
future.

I suggest you read Vince's book on LSPM or Handbook of Portfolio
Mathematics.

-N

On 12/27/10 10:07 AM, Mark Knecht wrote:
> On Mon, Dec 27, 2010 at 10:02 AM, Noah Silverman
> <noah at smartmediacorp.com> wrote:
> <SNP>
>> It has found a solution that has a 100% probability of profit given the
>> constraints.
> <SNIP>
>
> I don't know anything about that package but anytime I see a computer
> program tell me there's a 100% chance of profit it's a big red flag
> that I probably did something wrong.
>
> That's just me though. ;-)
>
> Cheers,
> Mark