Mean Variance Optimizer

Quantstar’s Mean Variance Optimizer is designed for optimizing portfolios containing /n/ number of asset classes - stocks, equity, alternative investment, and bond funds, domestic and international indices, as inputs. As an example, the Optimizer can optimize asset classes such as the constituents of the NASDAQ 100, the DOW 30, the S&P 100, the Major Market Index, the MSCI Developed Markets Index, the MSCI Emerging Markets Index, and the MSCI World Index.

Key Features:

  • Use of Black-Litterman type of Bayesian analysis assuming a CAPM-consistent prior and user-input view
  • Construction of posterior covariance matrix from CAPM consistent prior and input view using confidence parameter
  • Methodology will guarantee positive definiteness of the resulting covariance matrix (even if not present in the user-input view)
  • Optimizer engine to minimize variance subject to meeting target return and lower and upper bounds on asset class weights as well as bounds on asset class groups
  • Build efficient frontier at input target returns and highlight portfolio with maximum Sharpe Ratio

 

To download a trial version, please click here




 

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