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 <[email protected]> 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 <[email protected]> > > Subject: [Help-glpk] Portfolio Optimization Example > > From: Jeffrey Kantor <[email protected]> > > 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) : [email protected] > Webmail (preferred) : [email protected] > [from Webmail client] > > >
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