Dr Jun Wang et al. from University College London have developed a practical portfolio optimisation algorithm suitable for Information Retrieval applications.
Jun Wang. Mean-Variance Analysis: A New Document Ranking Theory in Information Retrieval. In Proceedings of the 30th European Conference on IR Research (ECIR), pages 4-16, Toulouse, France, April 2009. [bibtex] [paper]
Jun Wang and Jianhan Zhu. Portfolio Theory of Information Retrieval. In Proceedings of the 32nd Annual International ACM SIGIR Conference on Research and Development in Information Retrieval (SIGIR), pages 115-122, Boston, MA, USA, July 2009. [bibtex] [paper] [slides]