AlternativeSoft’s ‘Optimization’ Button (Button 07) is dedicated to delivering a range of easy to use and powerful optimization techniques which can be utilised by users. This is an ideal place to create optimal portfolios which conform to many constraints such as weights, liquidity and contribution to volatility. Many users also like using this to create benchmark portfolios which they can then compare against their real-world portfolios and therefore this button is excellent for bringing together modern portfolio theory & professional portfolio construction. By hovering your mouse over an optimization technique below, you will see a brief description about the optimization technique.

Our optimization algorithm is recognised as being both fast robust.

The portfolio with the highest Conditional VaR for the selected Expected annualized return is computed. This portfolio is for an investor who wants to minimize probabilities of portfolio extreme negative returns. Minimize your portfolio expected volatility using the traditional Markowitz optimization. The portfolio with the highest Omega ratio for the selected Expected annual return is constructed. The investor's risk aversion is high against extreme negative returns. Create well diversified portfolios using the confidence in assets returns and non normal portfolio distribution. Minimize your expected portfolio Modified Value at Risk. This takes into account the higher moments: skewness and kurtosis and is excellent for buidling portfolios with hedge funds. Build portfolios that protect against historical financial crises. Create an equally weighted portfolio utilizing Black Litterman implied returns. Construct Risk Parity Portfolios. Instantly see the effect of a change in their portfolio allocation and how this impacts various risk contribution measures such as volatility, correlation and VaR. Helps in making informed decisions. The portfolio with the highest Maximum Drawdown (Drawdown is a negative number, consequently the highest Drawdown is the portfolio with the smallest risk) for the selected Expected annual return is constructed. The portfolio with the smallest difference between an all time high and its respective future all time low is constructed. The investor is risk averse against capital depreciation. Use the fastest optimization algorithm on the market. Construct optimized portfolios for benchmarks. You decide how many portfolios you wish to use to construct your Efficient Frontier. Compare several optimization techniques under one shot. Helps you save time. Efficient Frontiers are quickly created and smooth. Protect the portfolio against inflation by defining constraints for the portfolio beta versus an inflation index. Protect your portfolio on the downside. Minimize the portfolio's historical losses.

Optimization Techniques

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