SERVICES AND SOLUTIONS

Long/short stock portfolio optimization in open source Python modules, MATLAB. CVaR minimization. Efficient frontier.

Long/short equity portfolio optimization

Robust portfolio optimization models implemented in open-source Python modules. Tail risk and drawdown metrics are available. Introduce your expert knowledge and assumptions in flexible scenario modeling. Connect and use the modules via REST API. Omega ratio models are currently in development.

Mont Carlo simulation with fat-tailed copulas. Tail risk analysis.

Monte Carlo simulation models

We model the correlated behavior of your portfolios including advanced Monte Carlo simulation models. You can run the models for different macroeconomic scenarios and incorporate your expert knowledge on industries and individiual stocks.

Estimating, smooting return probability distributions. Kernel Density Estimation. Oulier analysis. Estimating, adjustin, cleaning correlation matrices.

Return Analysis

We analyze the characteristics of return probability distributions. Checking the normality of log-returns, fitting and smoothing Kernel estimators for return CDFs. Thorough correlation analysis. Outlier analysis.

Robust macroeconomic scenario modellig. Risk and sensitvity anaysis for your financial porfolios.

Sensitivity and risk analysis

We implement Monte Carlo simulation models and analyze the risk characteristics of existing portfolios: VaR, CVaR, Maximum drawdown, Omega ratio, Variance, Sharpe Ratio. We test the behavior of your portfolio for different macroeconomic environments: Market crash, Recession, Fast growth, Excessive volatility.

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