Allocation and Optimization Articles
Asset Allocation: A Primer (2000)
A practitioner's guide I wrote for my research team covering how to formulate and solve mean-variance problems under varying turnover and transactional constraints. (10 pages)
A Bond Portfolio Optimization Formulation (1999)
A guide to constructing an optimal portfolio of bonds via a linearing programming formulation that meets multiple risk constraints. (7 pages)
An Option Portfolio Optimization Program (1995)
A product development brief I wrote while Research Director for a derivatives firm detailing an optimization strategy to extract maximum time decay from a risk-controlled option portfolio. (8 pages)