"I love Portfolio Probe - Generate random portfolios. Fund management software by Burns Statistics"

2022-05-09 13:10:24

Portfolio ProbeBurns StatisticsInvestment technology for the 21st century Skip to contentHomeBusiness OpportunitiesAboutAbout Portfolio ProbeSoftware Quality AssuranceApplications of random portfoliosAssess Risk ModelsBid on a PortfolioEvaluate Constraint BoundsPerformance AttributionPerformance FeesPerformance MeasurementPortfolio Construction Process AttributionQuantitative ResearchTest a Trading StrategyFrequently Asked QuestionsMy Job is…BrokerChief Investment OfficerFund of Funds ManagerFundamental Fund ManagerHedge Fund ManagerInvestment ConsultantPerformance Measurement and AttributionPlan SponsorQuantitative Fund ManagerQuantitative ResearcherRisk ManagerNewsRandom Portfolios in FinanceKey FeaturesComputing EngineConstraintsAsset Trade ConstraintsCost ConstraintCount ConstraintsDistance ConstraintsExpected Return ConstraintsForced Trade ConstraintsLinear ConstraintsLong-only ConstraintMaximum Weight ConstraintsMonetary Value ConstraintsNumber of Assets Held ConstraintsNumber of Assets Traded ConstraintNumber of Closing Positions ConstraintQuadratic ConstraintsRisk Fraction ConstraintsSum of Largest Weights ConstraintsThreshold ConstraintsTracking Error ConstraintsTrade Universe ConstraintTurnover ConstraintVolatility ConstraintsGenerate Random PortfoliosPortfolio OptimizationTransaction CostsUtility-free OptimizationDemo or buyAcademic version request formDemo process detailsDemo request formLicence AgreementPurchase order formThank you for your Academic version requestThank You for your demo requestThank you for your purchase requestTransaction detailsUser AreaChange logExtra packagesFrequently Asked Support QuestionsDocumentationPortfolio Probe Cookbook1. Data basicsAdd benchmark to variance matrixExample dataPrices to returnsRead a comma-separated file into RRead a tab-separated file into RReturns to variance matrix2. Generate Random PortfoliosAsset limitsCreate and plot valuationsGive a range for turnoverReturns and realized volatilityVery simple long-onlyVery simple long-shortVolatility and tracking error constraints3. Optimize TradesActive with benchmarkActive, no benchmarkAsset allocationAsset limitsCompute a technical indicatorControl turnoverCreate and plot portfolio valuationsDollar neutral (and general case)Impose transaction costsMinimum variance with tracking error constraintPassive with benchmark (minimum tracking error)Passive, no benchmark (minimum variance)Realized portfolio returns and volatilityScenario optimizationFirst four moments utilityGenerate historical scenariosGenerate statistical scenariosMaximize the omega ratioMaximize valueWrite your own utility functionWrite optimization results to a file8. C++ and Portfolio Probe9. R NotesUsing R packagesUser’s ManualSupport policySome hints for the R beginnerContactBlogProfessional software for the fund management industryPortfolio Probe generates random portfolios — use them to dramatically improve your fund management practice. Find out howKey features of Portfolio ProbeView example applicationsTry 1 month DemoI am a…BrokerChief Investment OfficerFund of Funds ManagerFundamental Fund ManagerHedge Fund ManagerInvestment ConsultantPerformance Measurement and AttributionPlan SponsorQuantitative Fund ManagerQuantitative ResearcherRisk ManagerTry 1 month DemoFollow us using:TwitterRSS feedNewsletter Sign-up Burns StatisticsBusiness OpportunitiesSupport policyAboutContactsite by Root Interactive