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Re: [Help-glpk] Portfolio Optimization Example
From: |
Jeffrey Kantor |
Subject: |
Re: [Help-glpk] Portfolio Optimization Example |
Date: |
Thu, 8 Jul 2010 19:56:25 -0400 |
Robbie,
Thanks for the comments. Yep, this is the sort of thing that had led to a lot of automated trading in the markets. Joking aside, this type of simple portfolio optimization has actually been around for a long time. Some would argue the L_1 criterion used here is actually more robust to model assumptions than usual Markowitz model.
Thanks for the edits. I went back and cleaned up a lot of the presentation, it was loaded with errors both small and large. Hopefully its in reasonably good shape. I also added some possible extensions if folks want to fiddle around with this example.
Jeff
On Thu, Jul 8, 2010 at 7:09 PM, Robbie Morrison
<address@hidden> wrote:
Hello Jeff
My first reaction: is this the kind of analysis that
contributed to the financial crisis?
Jokes aside, I read the text carefully and thought it
very good. I made some light edits which you can diff
if you like. I also added typical results.
Overall, I think it is really good to have these kinds
of annotated tutorial examples available on the web,
particularly when they also cover a range of domains and
modeling styles.
best wishes, Robbie
> ------------------------------------------------------------
> To: GLPK-HELP <address@hidden>
> Subject: [Help-glpk] Portfolio Optimization Example
> From: Jeffrey Kantor <address@hidden>
> Date: Thu, 8 Jul 2010 17:04:33 -0400
> ------------------------------------------------------------
>
> For what it is worth, I put up a portfolio optimization
> example on the wikibook page under GMPL examples. I'd
> appreciate any thoughts or feedback on this.
>
> Jeff
>
> http://en.wikibooks.org/wiki/GLPK/Portfolio_Optimization
---
Robbie Morrison
PhD student -- policy-oriented energy system simulation
Technical University of Berlin (TU-Berlin), Germany
University email (redirected) : address@hidden
Webmail (preferred) : address@hidden
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