Despite my not feeling well today, I had a good and fruitful lunch meeting with two of my colleagues today as we discussed the start of our research project - portfolio optimization of limited mutual funds.

This is my first time going into such a topic - never touched finance before; a science major who had branched off to engineering, I've never had any finance/economic background. So this will be a challenge. However, so far we've made progress in the problem formulation where we've identified our objective functions and the various constraints. Hopefully it will help those small/individual investors like myself get a better insight on the workings of our investment portfolios.

Peace,

Sid

PS. Here are some useful links to various papers/website related to portfolio optimization:

http://finance.wharton.upenn.edu/~stambaug/portopt.html

http://arxiv.org/PS_cache/cond-mat/pdf/9801/9801239.pdf

http://www.symmys.com/AttilioMeucci/Home/Home.html

http://arxiv.org/ftp/cond-mat/papers/0501/0501057.pdf

http://www-fp.mcs.anl.gov/otc/GUIDE/CaseStudies/port/index.html