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rickyvic


Total Posts: 155
Joined: Jul 2013
 
Posted: 2019-03-05 18:39
I have been in and out developing a portfolio optimization software using a well known enterprise optimizer.
It implements all the commonly used constraints, like transaction costs, turnover, sector, box, tracking error, etc...
Objective is returns or variance, I am gonna add CVaR for the sake of completeness.
Expected returns are given by the user.

It is missing factor models that I am looking at implementing these days.

Any idea of the latest features or must have that I am missing?

What Barra and similar do that is widely used for real money managers, financial planners, long only people etc...?

Any pointers appreciated.


"amicus Plato sed magis amica Veritas"
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