Department of Computer Science | Institute of Theoretical Computer Science | CADMO

Theory of Combinatorial Algorithms

Prof. Emo Welzl and Prof. Bernd Gärtner

Mittagsseminar (in cooperation with A. Steger, D. Steurer and B. Sudakov)

Mittagsseminar Talk Information

Date and Time: Tuesday, April 15, 2008, 12:15 pm

Duration: This information is not available in the database

Location: OAT S15/S16/S17

Speaker: Robert Almgren (Courant Institute, New York Univ.)

Portfolios from sorts

Modern portfolio theory produces an optimal portfolio from estimates of expected returns and a covariance matrix. We present a method for portfolio optimization based on replacing expected returns with ordering information, that is, with information about the order of the expected returns. We give a simple and economically rational definition of optimal portfolios that extends Markowitz' mean-variance optimality condition in a natural way; in particular, our construction allows full use of covariance information. We also provide efficient numerical algorithms. The formulation we develop is very general and is easily extended to a variety of cases, for example, where assets are divided into multiple sectors or there are multiple sorting criteria available.

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