Constrained Quadratic Optimisation: Tools
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Abstract and Contents
Nematrian website tools
The main tools that the Nematrian website makes available
for constrained quadratic optimisation are:
Quadratic Optimiser. All purpose constrained quadratic optimiser.
Quadratic Portfolio Optimiser. Equivalent tool with inputs specifically
tailored to the portfolio optimisation problem.
Quadratic Optimiser. Works out the ‘implied alphas’, i.e. the return
assumptions that need to be held for a portfolio to be optimal (ignoring
constraints), given active positions, standard deviations, a correlation matrix
and a trade-off factor (i.e. risk aversion factor) that corresponds to the
investor’s chosen trade-off between return and risk. Please bear in mind that
if a given set of returns, ,
is optimal in this context then so are for any
constant (asset class independent) values for and .
(d) Tools for plotting
efficient frontiers, including MnPlotQuadraticEfficientFrontier
which plot the efficient frontier (in risk-return space) and the portfolios
making up the efficient frontier.
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