Portfolio-Optimization Plots

I am happy to announce that the latest version of the HALO Portfolio-Optimization Suite is now available.  Key features include:

  • Native asset constraint support
  • Native asset-category constraint support
  • Dramatic run-time improvements of 2X to over 100X

Still supported are user-specified risk models, including semi-variance and max-drawdown.  What has been temporarily removed (based on minimal client interest) is 3-D 2-risk modelling and optimization.  This capability may be re-introduced as a premium feature, pending client demand.

Here is a quick screenshot of a 20-asset, fixed-income portfolio optimization.  The “risk-free” rate used for the tangent capital allocation line (CAL) is 1.2% (y-intercept not shown), reflecting a mix of T-Bills and stable value funds.  Previously this optimization took 18 minutes on an $800 laptop computer.  Now, with the new HALO software release, it runs in only 11 seconds on the same laptop.

 

Fixed income with capital allocation line
Optimized Fixed-Income (only) Portfolio.