Before revision:  We first frame the construction of a  portfolio as a combinatorial optimization problem with objective function given by the probability of having at least one item in the selected portfolio win. We show that a greedy solution to this problem has strong performance guarantees , even under arbitrary correlations between the items .
After revision:  We first frame the construction of a portfolio as a combinatorial optimization problem and show that a greedy solution to this problem has strong performance guarantees , even under arbitrary correlations between the items .