LSPM - Unexpected Results
Mark, Clearly this is a THEORETICAL value. One of the first things I ever learned about finance was that past performance is not a predictor of future performance. Since the portfolio optimization is based on past returns, then its obvious we don't expect the same performance in the future. I suggest you read Vince's book on LSPM or Handbook of Portfolio Mathematics. -N
On 12/27/10 10:07 AM, Mark Knecht wrote:
On Mon, Dec 27, 2010 at 10:02 AM, Noah Silverman <noah at smartmediacorp.com> wrote: <SNP>
It has found a solution that has a 100% probability of profit given the constraints.
<SNIP> I don't know anything about that package but anytime I see a computer program tell me there's a 100% chance of profit it's a big red flag that I probably did something wrong. That's just me though. ;-) Cheers, Mark