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Portfolio Optimization
Industry: Asset Management
Brief: Development of a standard portfolio optimization and analytics service. Optimization capabilities: Mean-Variance, Mean-CVaR (convex form and Rockafellar-Uryasev LP reformulation). Box and linear constraints. Robust optimization methods: Shrinkage of the Covariance Matrix, Dropout.
Value Delivered: Unified Portfolio Optimization Framework for a 50B+ EUR asset management portfolio.



