Jay's Asset Allocation Blog

Blog about my off-hours work on the problem of Asset Allocation including but not limited to Portfolio Optimization algorithms, algorithms and approaches for improved estimation of Asset Allocation inputs and other potentially related items.

Tuesday, September 23, 2008

Asset Allocation Workbench

So I've started work on this tool. I was stuck on making it an eclipse plugin and once I gave up on that and went for a simple Swing app things started falling into place. Hopefully I'll get the latest checked into the akutan cvs at sourceforge by the weekend.

I'm still noodling with entropy and information theory as some sort of aid in portfolio optimization as I like the elegance of the math, but the point was made to me that for the most part this is just shrinkage in weight space during the optimization vs the more common shrinkage in return space (prior to the optimization). Unfortunately clean math doesn't always get us anything useful in asset allocation.

Given that I've started on the asset allocation workbench project, I'm starting to look at more concrete portfolio optimization techniques I can fold in, at the moment it's CVaR, but next I hope to plumb a bit of higher order moments. I've built up a bit of a wish list from other folks over the years which I'll be adding to the blog as a means to capture requirements so to speak.