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View Full Version : free portfolio optimisation model/software



modandm
17-05-2011, 05:45 PM
just wondering if anyone has anything like this.

Specifically I am looking for:

a linear programming allocation algorithm developed by Richard Oberuc in his book, Dynamic Portfolio Theory and Management.

I already have the basic optimisation model which requires return/std deviation assumptions and a covariance matrix. But I am looking for something more sophisticated that deals with downside deviation.

Any info appreciated