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Portfolio Optimization 3.0

  Date Added: June 11, 2012  |  Visits: 2.183
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Portfolio Optimization
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The Portfolio Optimization template identifies the optimal capital weightings for a portfolio of financial investments that gives the highest return for the lowest risk based on the return risk profile and correlation between individual investments. The design of the portfolio optimization model enables it to be applied to either financial instrument or business stream portfolios. The portfolio optimization template is intuitive and flexible with help icons throughout to assist with input and interpretation of output results. Input of historical data for the analysis is supported by options to specify absolute prices or returns, number of current units held and a tool to download long time periods of financial market data for securities from the internet. Advanced optimization options include setting minimum and maximum constraints for weightings in the optimal portfolio and risk analysis options for overall volatility under the Sharpe ratio, downside risk or semi-deviation under the Sortino ratio and gain/loss under the Omega ratio. Optimization can be set to maintain at least the current level of return and specify a target return for which the probability of attaining is calculated via Monte Carlo simulation. The portfolio optimization results are displayed with weighting charts and return distributions as well as acquisition and liquidation actions required. Technical analysis is provided with back tested total return from signal trading and automatic optimization of technical period constants for each investment or the total portfolio that results in the highest back tested return. Technical analysis indicators with detailed charting and back testing analysis include simple moving average (SMA), rate of change (ROC), moving average convergence/divergence (MACD), relative strength index (RSI) and Bollinger Bands. The template is compatible with Excel 97-2010 for Windows and Excel 2011 or 2004 for Mac as a cross platform portfolio optimization solution.

Features:
-A simple and logical data input and work flow is provided with adaptable options accompanied by integrated help information.
-The input accommodates for up to 100 securities or business cash flow data from which current portfolio weightings, returns and risk correlations are calculated. Historical prices for financial security data can be freely downloaded from the internet with the accompanying market data download solution. The market data solution to download financial security price data also provides detailed return analysis and statistics to compare two securities or securities with benchmark indices.
-Minimum and maximum weighting constraints can be specified for each asset for the optimized portfolio to reflect obligations and capital allocation restrictions.
-The correlation matrix and portfolio dynamics calculated from the input data can be modified before running the optimization process. This allows for assumptions on future trends and relationships to be accounted for in the optimal portfolio.
-Portfolio risk for optimization can be based on overall volatility under the Sharpe ratio, downside risk or semi-deviation below a target return under Sortino ratio, or the proportion of upside to downside return magnitude under the Omega ratio.
-Additional options allow for flexibility and customization of analysis such as maintaining at least the current portfolio return, calculating quantities to apply a nominal capital amount equally to investments, exporting results to a standalone file and optimizing either Long or Short position portfolios.
-The comparison between the current and optimized portfolio is displayed graphically as well as unit buy and sell quantities required for each investment in the portfolio.
-A target return matching the input periodicity can be specified for which the probability of achieving is calculated and displayed using Monte Carlo simulation.
-Technical analysis with Buy and Sell signals and back tested total return gain is performed for the overall portfolio and each investment. Configurable technical analysis indicators include: Simple -Moving Average (SMA), Rate of Change (ROC), Moving Average Convergence/Divergence (MACD), -Relative Strength Index (RSI) and Bollinger Bands.

Requirements: No special requirements
Release Date: May 21, 2012
Platforms: Windows 98, Windows 2000, Windows XP, Mac OSX , Win7 x32,Win7 x64,WinVista,WinVista x64
Keyword: Allocation Analysis Asset Excel Indicators Management Optimization Portfolio Return Risk Signals Technical Total
Version 3.0 Changes: The Omega ratio has been integrated. Technical analysis has been added with ability to optimize constant parameters to maximize back tested return on buy and sell signals. Includes detailed analysis and charting of simple moving average, rate of change, moving average convergence/divergence, relative strength and Bollinger bands. Provides the ability to apply a capital amount equally to starting portfolio weightings. Optimization can be undertaken on both long and short portfolios. Code has been designed to increase processing speed.
Users rating: 0/10

License: Shareware Cost: $26.00 USD Size: 375.98 KB
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