1. A program storage device readable by a computer, tangibly embodying a program of instructions executable by the computer to perform the method steps for optimizing a portfolio, said method comprising the steps of: providing an investment universe with a finite number of assets; forming a belief matrix from one or more relationships among the expected returns of assets in the universe; selecting those asset returns that are consistent with the belief matrix to form a consistent set of return vectors; determining a set of allowable weight vectors for the assets in the universe; determining a centroid vector of the consistent set of return vectors with respect to a probability measure; and finding an optimal portfolio by finding a weight vector in the set of allowable weight vectors that maximizes an inner product with the centroid vector.