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Constrained Quadratic Optimisation: Tools

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Nematrian website tools

 

The main tools that the Nematrian website makes available for constrained quadratic optimisation are:

 

(a)    Constrained Quadratic Optimiser. All purpose constrained quadratic optimiser.

 

(b)   Constrained Quadratic Portfolio Optimiser. Equivalent tool with inputs specifically tailored to the portfolio optimisation problem.

 

(c)    Reverse 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 and MnPlotQuadraticEfficientPortfolios, which plot the efficient frontier (in risk-return space) and the portfolios making up the efficient frontier.

 


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