The optimization module of the Comarch Asset Management software allows for the portfolio structure to be shaped in accord with the user’s specified criteria.

This includes maximization of the portfolio performance (rate of return, Sharpe, Information Ratio) with assumed maximum risk (volatility, tracking error) or the opposite: a minimization of risk with assumed minimum portfolio performance.

This is based on Markowitz optimization theory. The functionality takes into account weight limits imposed on a chosen group of instruments as well as rates of return for particular securities or sectors, historical or projected, by asset managers.

The effect of the optimization process is a proposal to modify the weight of securities which leads to an optimum portfolio structure.

Do you want to know more? Visit the website of the Comarch Asset Management system >>