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.

Wednesday, January 6, 2010

A few new papers

I've not been too busy with this project lately, but I'm back.

I read an interesting paper recently, A Sharper Angle on Optimization, by Max Golts and Gregory Jones. I'm always looking out for new takes on improving correlation matrices, and ones which have a geometric point of view seem like they should have some intuitive feel. I've only read through this once, and not yet tried to implement it, but I like there ideas. I'm sure I'll be blogging a bit more on this after I've had time to read and digest the paper.

On the Black-Litterman front, I've had several folks send me helpful information, the most recent is Allaj Erwindi giving me the pointer that I could save some trees in my paper by referring to the Sherman-Morrison formula (which I work through in an appendix of the paper without knowing the name). Thanks, the next version of the paper will be shorter and will include references to this formula.