Portfolio Optimization and Asset Allocation
Create portfolios, evaluate composition of assets, perform mean-variance, CVaR, or mean absolute-deviation portfolio optimization, backtest investment strategies
Quantitative investment managers and risk managers use portfolio optimization to choose the proportions of various assets to be held in a portfolio. The goal of portfolio optimization is to maximize a measure or proxy for a portfolio's return contingent on a measure or proxy for a portfolio’s risk. This toolbox provides a comprehensive suite of portfolio optimization and analysis tools for performing capital allocation, asset allocation, and risk assessment, as well as, a backtesting framework to backtest portfolio allocation strategies.
Frequently Viewed Topics
- Black-Litterman Portfolio Optimization
- When to Use Portfolio Objects Over Optimization Toolbox
- Portfolio Optimization Using Factor Models
- Asset Allocation Case Study
- Hedging Using CVaR Portfolio Optimization
- Compute Maximum Reward-to-Risk Ratio for CVaR Portfolio
- Troubleshooting Portfolio Optimization Results
- Portfolio Optimization Theory
Background theory for Portfolio optimization problems - Mean-Variance Portfolio Optimization
Create Portfolio object, evaluate composition of assets, perform mean-variance portfolio optimization - Conditional Value-at-Risk Portfolio Optimization
Create portfolios, evaluate composition of assets, perform CVaR portfolio optimization - Mean-Absolute Deviation Portfolio Optimization
Create portfolios, evaluate composition of assets, perform MAD portfolio optimization - Portfolio Analysis
Analyze portfolio for returns variance and covariance, simulate correlation of assets, calculate portfolio value at risk (VaR) - Backtest Framework
Define investment strategies, run backtests, analyze strategy performance