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Portfolio Optimization and Asset Allocation

Create portfolios, evaluate composition of assets, perform mean-variance, CVaR, MAD, or custom portfolio optimization, backtest investment strategies, perform performance attribution

Quantitative investment managers and risk managers use portfolio optimization to choose the proportions of various assets to be held in a portfolio. The goal of portfolio optimization is to maximize a measure or proxy for a portfolio's return contingent on a measure or proxy for a portfolio’s risk. This toolbox provides a comprehensive suite of portfolio optimization and analysis tools for performing capital allocation, asset allocation, and risk assessment using mean-variance, Conditional Value-at-Risk (CVaR), Mean-Absolute Deviation (MAD), and custom portfolio optimizations. In addition, the toolbox provides a backtesting framework to backtest portfolio allocation strategies and performance attribution functions for single periods, over relatively short time spans, or multiple periods.