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Tag Archives: Portfolio Optimization


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


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,


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


Building Excel portfolio management worksheet.

Building Excel Portfolio Management worksheets.  On day one of our course on portfolio management we introduced basic concepts and challenges of portfolio management. We also introduced the securities universe we are planning to use for our five day workshop. On day two we begin building our Excel


Portfolio management – Risk and Return

Portfolio Management. Risk and return. What is the first image or thought that comes to your mind when you hear the term Portfolio management? Making money trading shares? Figuring out allocation of investments across a group of selected securities? Changing market prices and volatility? Capital

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Market Risk Metrics – Volatility Trend Analysis

Trailing volatility or Volatility Trend Analysis Trailing Volatility or volatility Trend Analysis is the analysis of volatility trend lines. Volatility tends to behave in cycles. Rising volatility ultimately leads to a reversal and vice versa. The volatility trend line is a graphical representation of the