We have developed an engine (software) called "PSARM" (Portfolio Selection and Risk Monitoring) that transforms an existing portfolio (institutional or private) automatically into a lower risk portfolio while improving the respective returns. It does not change the composition of the portfolio, it does only change the weights of each position either daily, weekly or monthly.

The engine was developed over several years by many leading scientists from our firm and includes numerous very sophisticated new methods, tools and algorithms to automatically calculate the above. It was alreaedy implemented resp. used with real portfolios and produced very good results.

We compared this engine with other sophisticated modern methods and ours does not only produce better results, it is also faster from an IT point of view because we implemented closed form equations (an equation that solves a given problem in terms of functions and mathematical operations from a given generally-accepted set)...
We have developed an engine (software) called "PSARM" (Portfolio Selection and Risk Monitoring) that transforms an existing portfolio (institutional or private) automatically into a lower risk portfolio while improving the respective returns. It does not change the composition of the portfolio, it does only change the weights of each position either daily, weekly or monthly.

The engine was developed over several years by many leading scientists from our firm and includes numerous very sophisticated new methods, tools and algorithms to automatically calculate the above. It was alreaedy implemented resp. used with real portfolios and produced very good results.

We compared this engine with other sophisticated modern methods and ours does not only produce better results, it is also faster from an IT point of view because we implemented closed form equations (an equation that solves a given problem in terms of functions and mathematical operations from a given generally-accepted set).

But PSARM does not only combine enhanced quantitative portfolio management approaches, it is complemented with an active forward looking risk monitoring with a high degree of accuracy. The former selects the optimal portfolio weights. The latter serves as an early warning system against large market crashes.

The methodology at a glance:

PSARM may be used on various types of portfolios. Any existing required constraints are respected, while the resulting allocation decision leads to superior returns for a given level of risk. The main functionalities are:

• Capturing the stylized facts of financial returns from the real world by incorporating multivariate generalized fat-tailed distributions, tail dependences, time varying volatilities and correlations, as well as asset-specific asymmetries.

• Performing fast and accurate portfolio optimization based on numerically sound algorithms and methodologies.

• Enabling a forward looking approach to signal when the portfolio's exposure to risky assets should be reduced.

Depending on the portfolio we improved the performance/risk substancially, even with hard restrictionss.
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