I have been working on an asset allocation theory based on optimizing
the Sharpe Ratio of a portfolio of exchange traded funds. The title
page of the website,
<http://vic.norton.name/finance-math/sospdr/> or
<http://home.dacor.net/norton/finance-math/sospdr/>,
reads
Sharpe-Optimal SPDR Portfolios
or
How to beat the market and sleep well at night
The computations for this work are accomplished by two Octave
scripts, maxcos.m and soptf.m. The second script is just an
application of the first.
...
These scripts are in a "maxcos.zip" file on the website along with
various test routines, README files, and what not. If anyone is
interested in checking this stuff out, I'd very much appreciate your
input.