Portfolio Probe

Long-only passive

• Passive, no benchmark (minimum variance)
• Passive with benchmark (minimum tracking error)
• Minimum variance with tracking error constraint

Long-only active

• Active, no benchmark
• Active with benchmark
• Asset allocation

Long-short

• Dollar neutral (and general case)

Constraints and costs

Examples of constraints are presented individually, but you can add whatever collection of constraints you want.

• Control turnover
• Asset limits

• Impose transaction costs

Using results

• Write optimization results to a file
• Realized portfolio returns and volatility
• Create and plot portfolio valuations

Scenario optimization

• Scenario optimization

Related tasks

• Compute a technical indicator

Navigate

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