Case Study

Portfolio Management

Portfolio optimization is the process of building the best combination of assets to maximize a return while limiting the risk
(and vice versa)

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IN BRIEF

KEY INFORMATION

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SPEED& ACCURACY

Reliable results in a few minute

ADAPTABILITY

For a quick integration

USER FRIENDLY

To improve the users’ adoption

Challenges

  • Obtain optimal portfolios based on risk profile​
  • Allow to incorporate restrictions on portfolio assets to accommodate diversification in a flexible way​
  • Incorporate the manager’s views on the market​

Solution

  • Advanced data management tools: reconstruction of incomplete time series by interpolation and/or extrapolation of missing values​
  • The analyzes include measures of market risk (VaR) with evaluation by backtesting​
  • Stress tests and scenario analysis. Next version: Reinforcement learning and econophysics​

Gains

  • Fastest Black-Litterman implementation on the Market
  • AI module relying on a proprietary version of a RNN leads to improvement returns by more than 50% in volatile environments
  • UX revised to ensure quick handholding from end user

Testimonial

“Funny to hear that Prof. Litterman was consulted on the product.”