Mean Variance Optimizer

Quantstar’s Mean Variance Optimizer is designed for optimizing portfolios consisting of n number of asset classes – stocks, equity, alternative investment, bonds, domestic and international indices, as inputs. The optimizer assumes that portfolio returns are characterized by inputs of expected returns, standard deviation of return and return co-relation amongst asset classes.
Key Features	Download Trial Version*
▶ 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



	*System Requirements: Windows XP or Vista, Microsoft Excel (XP, 2003 or 2007)

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