Riskdata Portfolio Optimizer strengthens proactive risk management

Riskdata introduces a high-speed solution to perform asset allocation matching a set of user-defined risk constraints, asset allocation constraints and using a custom utility function. The utility function, reflecting fund management’s priorities, is defined by striking a balance between: targeted risk contribution (e.g. for risk parity strategies), distance to initial portfolio (to reduce transaction costs) and expected performance.

Regarding performance, the solution offers both standard mean-variance methodology, using Markowitz approach and robust mean-variance methodology, achieving a better diversification. Riskdata Portfolio Optimizer allows bridging the gap between Middle Office and Front Office, giving risk managers a proactive risk management tool to further help fund managers in allocating their assets.