portfolio optimization

Hi,

Is it possible to improve Portfolio Master with proper portfolio optimization like .e.g using Markowitz mean-variance or CLA ??

The Portfolio Master only searches the equally weighted combination of sub portfolios but according to portfolio theory, the portfolio should be created according to risk-return (efficient frontier)

Krzysztof

Krzysztof, it is not possible right now, but it is something that might be added in the new version.

Right now, the portfolios consider all strategies as equally weighted, as you say.

+1

if im not wrong this is possible do with QA4 . only need time and higher skills in programming (inmycase) Anyone intersted to cooperate?

http://ojalgo.org/

Can we does this portfolio optimization using Excel?

https://www.youtube.com/watch?v=OGhGz8trZtw

https://www.youtube.com/watch?v=JRDWD6DE59k

Hi marc,

the new Portfolio Optimizer with genetic optimaziation looks perfekt.

The MAE/MFE ist a good feature too.

Very good work.

thomas