Trading and Portfolio Management

>>Trading and Portfolio Management
Trading and Portfolio Management 2018-09-18T11:33:02+00:00

As the name implies OptiRisk’s specialisation lies in Optimization and Risk Analysis. OptiRisk also has products and value added services for Asset and Liability Management (ALM) and Sentiment Analysis. Applying this in a Financial context, we have developed models and software systems that use Optimization for the purpose of investment decisions. We are renowned for our modelling capabilities in Stochastic Optimization and Optimization under Uncertainty. Our software solutions cover trading in:

  • Stocks and Shares (Equities)
  • Sovereign and Corporate Bonds
  • Major Global Indices
  • Derivative Products: Futures and Options

Background: The investment industry manages funds in excess of $60tn globally. Managers of ‘Active’ funds seek to deliver a return in excess of the broad market and charge fees of 0.3- 1.0% per annum, whereas ‘passive’ funds use models which track indices and carry much lower fees. In recent years, there has been a trend towards designing hybrid ‘enhanced index’ or ‘index-plus’ funds with a similar cost to index-trackers, but with some of the upside potential of the active funds.

To date alternative strategies have either used popular portfolio construction methods with oversimplified risk models (mean variance optimization on tracking error), or have used more sophisticated risk models (simulation-based) but have had to adopt weaker portfolio construction methods.

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LDIopt is an asset and liability management (ALM) optimization modelling software for pension funds, insurance companies, and banks. The tool enables the user to analyse their current investment portfolio, rebalance it to a new portfolio using advanced stochastic optimization models which take into account future uncertainties of the assets and liabilities.

  • Asset Liability Management under Uncertainty
  • Pre and Post Analysis
  • Portfolio Allocation
  • Scenario Generation
  • Multiple Optimization Models

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