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.

Saturday, January 24, 2009

Updated Paper on the site

I've finally finished my updating of the paper. This new January 22nd version includes what I think is an improved section on Idzorek's extension and a more thorough treatment of measuring tilt/distance/compatibility of the prior, views and posterior. I need to make a quick update with some small edits, but it's basically all there right now.

Haven't been adding as much to the RSS feed of papers I've been reading, but I did get a second batch in there and will shortly put up some more papers.

I'm also in the process of cleaning up the akutan open source project, trying to document everything that is in there. I'm also trying to separate examples and unit tests from the re-usable part. My goal is to get a release 1.0 jar up on sourceforge in the next few weeks.