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Portfolio Optimization

Combined Portfolio Divided Portfolio Asset Allocation


To demonstrate the unique and powerful features of our software we built a subset of combined portfolios consisting of 10,15,and 20 mutual funds(FIGURE 2.1) and divided portfolios consisting of 14 members (FIGURE 2.2) respectively.

Selected portfolios are optimal in terms of performance (annual return) and risk (average standard deviation).

They can be selected in any range of minimum and maximum performance and include any number of funds.

The combined portfolios of 15 mutual funds we have selected for our example ranged in the annual return from 20.01 to 20.99 % and standard deviation from 4.96 to 5.24 % (TABLE 2.2).

The divided portfolios of 14 mutual funds (TABLE 2.7) ranged in the annual return from 10.00 to 10.50 % and standard deviation as low as from 2.56 to 2.64 %.

Our software can be successfully used in the Mutual Fund Industry. It allows the Fund Managers, Financial Planners and Advisors to build, analyze, and manage well-diversified portfolios of funds in the most efficient way.

An Exact Polynomial Search Algorithm
for the 0/1 Knapsack Problem

2011 - optimset