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Category Archives: Portfolio management


The case for Optimal portfolio alpha.

The case for optimal portfolio alpha. We revisit the optimal portfolio alpha allocation challenge. What is the right approach for allocating portfolio alpha? Maximizing alpha, minimizing alpha or somewhere in between? Is there a viable alternate approach that can make money with  portfolio alpha estimation


Portfolio alpha stability and allocation optimization models.

Portfolio Alpha stability and portfolio optimization models Stability and robustness of portfolio Alphas – the excess return metric – and its implication for portfolio allocation and optimization models – a short thesis on portfolio alpha stability. How stable is your portfolio alpha – introducing alpha


Higher moment Portfolio models. Skewness preference.

Higher moment Portfolio models. Skewness preference. So far in the portfolio optimization course our focus has been on single dimension analytics. With both risk and performance we have only looked at one metric at a time. While our Solver models have worked with multiple constraints,

Portfolio Management Training – Dubai, Bangkok – March 2017

Portfolio Management Training workshop, Dubai, Bangkok This intense, hands on two day training workshop on Advance Portfolio Management techniques is meant as a hands on refresher for both new and experienced portfolio managers. The course uses Excel Solver optimization as a canvas for exploring and answering a


Calculating annual return holding period return or aggregate return?

Calculating annual return holding period return or aggregate returns. This weekend while teaching the portfolio management and optimization course to a group of Executive MBA students at IBA we ran into an interesting debate on calculating annual returns, holding period returns and aggregate returns for an


Insurance portfolio optimization challenge solution.

The Life Insurance Company Portfolio Optimization Challenge solution. There are a number of changes that we need to make to our existing model before we can build the solution for life insurance portfolio optimization challenge.  As mentioned earlier the insurance portfolio challenge comes with additional


Portfolio Management with Excel Solver

Portfolio Management with Excel Solver Learn how to allocate across sectors and specific securities based on risk, return, liquidity and other limits across multi asset portfolios using your friendly spreadsheet version of Excel solver.  Despite my best efforts to not write another text book, the

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