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 15, 2009

Diversification and Entropy

Haven't posted in a while.

Just read an interesting paper by Attilio Meucci Managing Diversification. He goes through some interesting workings to come up with a utility function which allows the investor to trade off diversification versus return. I did some work a while back on entropy and diversification, getting to the point of a paper 2/3 of the way done, but lost momentum. Anyways, this gets me stoked back up to look at the problem of diversification as it's one important to an individual investor as well as an institutional investor.

Dr Meucci is doing a bit of a roadshow with this new work under the auspices of Bloomber University, though the Boston even which I was hoping to attend was canceled at the last minute. Hopefully, it'll be rescheduled soon.