modandm
17-05-2011, 06:45 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
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