Portfolio Optimization | Renexe Risk Analytics

Portfolio optimizer (beta)

Optimize and analyze the risk of your portfolios using our free application with multiple advanced parameters. The additional functionality will be added as the development goes on.

Choose your preferences and receive a free risk report to your email.

Report_example

Basic inputs

Email (mandatory)

Your occupation (mandatory)

Starting date for testing (mandatory)

List of stocks (currently active), for non-US stocks add suffix, e.g. AAK.ST

Choose all stocks with market cap filter (optional), in total no more than 300

Exchange

Min market cap in million

Max market cap in million

Data filters

Training period

Testing period

Filter for missing values

Filter for zeros (low liquidity)

Monte Carlo simulation parameters

Main model

N scenarios

Simulation days head

Tail risk (for hist. vol.)

Macro modelling type

Macro lower pctl

Macro upper pctl

Flip returns to losses

Optimization parameters

Select model type

Exposure

Leverage

Individual weights, e.g. AAPL should be 5% of portfolio

Confidence level, e.g. 0.99

Max weight for a single stock

Risk (-20 to +20, optimum - 0)

Number of solutions

Yearly expected return of stocks, e.g. 10%, if not given the expected value of training data is used

Request status

Execution status