Portfolio Optimization
Customer Challenges:
Financial investment company was interested in investigating strategies for portfolio allocation.
Our Solution:
- The ISEA TEK team derived a portfolio asset allocation mathematical model, explicitly incorporating transaction costs and considering multiple alternative risk measures.
- Using the S&P 500 Index adjusted close values, as well as a cash option, the ISEA TEK team performed detailed analysis of the mathematical model under a period of significant market increase and a period of significant market decrease.
- The ISEA TEK team was able to prove that their mathematical model resulted in positive returns in both sets of market conditions, as compared with negative returns otherwise.