August 20, 2012
A herd of heuristic algorithms is compared using a portfolio optimization. Previously "A comparison of some heuristic optimization methods" used two simple and tiny portfolio optimization problems to compare [...]
July 23, 2012
A simple portfolio optimization problem is used to look at several R functions that use randomness in various ways to do optimization. Orientation Some optimization problems are really hard. [...]
July 9, 2012
An explanation of alpha factor alignment in portfolio optimization, and a look at the spectrum of views on it. Venue FactSet recently hosted an event that included a panel [...]
January 5, 2012
Stumbling blocks on the trek from theory to practical optimization in fund management. Problem 1: portfolio optimization is too hard If you are using a spreadsheet, then this is [...]
December 21, 2011
A possible way to search for constraints that improve optimization. The perspective The usual way of thinking about portfolio optimization is to first consider the utility and then restrict [...]
October 27, 2011
The book is by Manfred Gilli, Dietmar Maringer and Enrico Schumann. I haven't actually seen the book, so my judgement of it is mainly by the cover (and knowing [...]
July 13, 2011
In which random portfolios are used as the vehicle for portfolio optimization. The paper The author is William Shaw. The paper goes by the succinct title of "Portfolio Optimization [...]
December 16, 2010
The idea of a greedy algorithm (for optimization) is that you do as best you can locally and you don't worry about the big picture. For some problems a [...]