PORTFOLIO OPTIMIZATION

MACHINE LEARNING STOCK PICKING

  • Discover which stocks have a higher expected return per unit of risk in the different market regimes.
  • Identify redundant securities and boost diversification.
  • Select the best ETFs for special market conditions.
  • Stress test your portfolio by stressing one or more macroeconomic or market variables.
  • Create a basic portfolio that is coherent with your investment goals.

OUR PORTFOLIO OPTIMIZATION MODELS

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  • We employ over 40 portfolio optimization models: Bayesian, A.I., Online, Convex, …
  • We calibrate our models on the base of your goals, the current trading signals, and your risk budget.
  • We provide a detailed backtesting of each model.
  • Our Adaptive algorithm selects the best models given the current market conditions and your investment goals.
  • We integrate the results of the Portfolio Optimization with the ones coming from Risk Management.

SELECTED REFERENCES

  • Basile Ignazio, Ferrari Pierpaolo, “Asset Management and Institutional Investors”, Springer,  2016
  • De Prado Marcos Lopez,  “Machine Learning for Asset Managers”, Cambridge University Press,  2020
  • Fabozzi Frank et al. “Asset Management: tools and issues”,  World Scientific, 2020 
  • Kissell Robert, “The Science of Algorithmic Trading and Portfolio Manangement”,  Academic Press, 2013
  • Meucci Attilio, “Risk and Asset Allocation”, Springer, 2005