What software packages do you guys use to develop model portfolios for asset allocation? Looking into finding some affordable options.作者: ramzes 时间: 2013-4-22 06:38
Have you tried Excel,R,MATLAB?..R is for free btw作者: ramdabom 时间: 2013-4-22 06:39
Yeah but you need the historical returns and correlation data for various timeframes in the package.作者: ba736 时间: 2013-4-22 06:39
Palantir Wrote:
——————————————————-
Yeah but you need the historical returns and
correlation data for various timeframes in the
package.
How much work are you trying not to do??
(This sounds meaner than I really intended - but at some level I figured that you’d be inputting your own returns and correlation data for your optimizer - or at least raw levels)
There is an R package called Rmetrics, which has some tools and an optimizer for doing this in R. The package is free, but the documentation for it is a little pricey (and the strengthening CHF doesn’t help, since it’s priced in CHF).作者: edgeon 时间: 2013-4-22 06:39
I’m looking to pick asset classes and put them in portfolios and see where they lie on the efficient frontier. I want to do this without entering any historical return or correlation data of my own.
I have an optimizer thing I wrote in excel, but I’m really looking for something that comes with constantly updated historical data.作者: luckygiftvn 时间: 2013-4-22 06:39
HighYielder Wrote:
——————————————————-
Informais PSN
Ha I thought I was the only one. What field do you work in that you use PSN?作者: Matori 时间: 2013-4-22 06:39
Ha I thought I was the only one. What field do you
work in that you use PSN?
Im the Chief Investment Strategist for a large CPA firm. I use it mostly because I subadvise out all of our investment management, so its my main due diligence tool. But I can get all of that other stuff done on their too. It has its limitations but I find it super user friendly and definitley the best “bang for the buck” when compared to competitors.作者: Beatnik 时间: 2013-4-22 06:40
Or you could just realize that “optimization” doesn’t work and neither does the “efficient frontier” and move on…
