V I C B e e    C o n s u l t i n g


Large Scale Portfolio Optimization

VICBee has developed models and continue working on algorithms to optimize portfolios involving several thousands of assets to one of the worlds' largest sovereign wealth funds.

The main goal is to take into account the clients' own trading environment and strategic investment constraints while being able to handle portfolios with more than five thousand assets.

Objectives include tracking performance indices and maximizing expected return under risk constraints over single or multiple investment periods.

VICBee developed mathematical models and software that were incorporated by the client in their existing set of tools to optimize the allocation of assets in large portfolios with a number of practical constraints. These constraints include strategic investment guidelines, limiting the number of small or very large trades, liquidity considerations, and scheduling transactions over a finite investment horizon.

Please visit another of our case studies for a brief discussion on the determination of the efficient frontier in constrained portfolios.

Copyright © 2009 VICBee Consulting