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Rolling Portfolio Optimization

Portfolio Optimization Overview

This portfolio optimization tool performs rolling portfolio optimization where at the start of each period the portfolio asset weights are optimized for the given performance goal based on the specified lookback window of past returns. The following rolling optimization strategies are supported:

  • Maximize Sharpe Ratio – Maximize the risk adjusted performance for each period based on the past time period
  • Minimize Variance – Minimize the portfolio volatility based on the past time period
  • Minimize Conditional Value-at-Risk – Optimize the portfolio to minimize the expected tail loss based on the past time period
  • Risk Parity – Equalize the risk contribution of portfolio assets based on the past time period

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional.

Portfolio Optimization Configuration

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Portfolio Assets
Allocation
Min. Weight
Max. Weight
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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%
Total
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