Rolling Portfolio Optimization
This portfolio optimization tool performs rolling portfolio optimization where at the start of each period
the portfolio asset weights are optimized for the given performance goal based on the specified timing window of past returns.
The following rolling optimization strategies are supported:
Maximize Sharpe Ratio – Maximize the risk adjusted performance for each period based on the past time period
Minimize Variance – Minimize the portfolio volatility based on the past time period
Minimize Conditional Value-at-Risk – Optimize the portfolio to minimize the expected tail loss based on the past time period
Risk Parity – Equalize the the risk contribution of portfolio assets based on the past time period
The required inputs for the optimization include the time range and the portfolio assets.
Portfolio asset weights and constraints are optional.