The ALM Optimizer

Product Features 

The software will facilitate your solutions to the following topics and questions.

Similar to the Standard Optimization Module:

• You can optimize a standard portfolio and investigate its performance in Scenario Generation, accounting for the uncertainty in your optimization inputs.

• You can perform the optimizations using a return or surplus optimization variable and for different rebalancing, return, and risk horizons.

Accounting for Errors in the Optimization Inputs and Estimators

• Seven Special Optimizations are available that adjust for the inherent bias caused by historical sample data inputs or more generally caused by measurement error.  

• Our unbiased Global Minimum Volatility option is particularly applicable to the recently popular minimum variance portfolio (MVP) applications.

• The Expected Return Shrinkage option allows the user to determine the effect of well-known errors in expected return inputs.

• Similarly, other shrinkage options allow the user to investigate the effect of errors in Volatilities and Correlations.

• Our proprietary Risk Price Shrinkage and Low Bias options are applicable to portfolios of all risk levels.

• You can optimize with Combination Portfolios from published financial research that are said to outperform optimized but unadjusted portfolios.

• Inputs and Outputs are similar to the other modules and are fully integrated with scenario generation.