Expected duration: 1 - 6 months 1) Overview:
Optimizer for asset allocation subjected to constrains
(Flexibility is the key)
2) Calculation engine:
C++/C#
3) Visualization engine:
Javascript/html
4) Mathematical methods to be available for selection:
Mean Variance (Sharpe) Optimization
Minimize Variance
Minimize Conditional Value-at-Risk
Maximize Information Ratio
Risk Parity
Maximize Kelly Criterion
Maximize Sortino Ratio
Maximize Omega Ratio
Minimize Maximum Drawdown
5) Approach to portfolio optimization (utilizing any of the mathematical methods described above)
Historical efficient frontier
Forecast efficient frontier
Black Litterman Approach
Rolling optimization
Rebalancing optimization
6) Inputs to optimizer:
Able to input file formats (csv, xlsx etc) into the input fields
Specify the inputs as either returns or price
Able to add new asset class type as inputs
Configure changes to parameters in 4) and 5)
7) Constrains
Asset classes floor and ceilings
Expected portfolio returns/volatility
Currencies floor and ceilings
Other adhoc constrains based on input data
8) Output:
Display as interactive charts on web site
Allows download of results in xlsx/jpeg format
