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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


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.


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

Robbie Morrison
PhD student -- policy-oriented energy system simulation
Technical University of Berlin (TU-Berlin), Germany
University email (redirected) : address@hidden
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