iOptima™ is a state-of-the-art multiobjective portfolio optimization decision support system which enables users to get a strategic advantage in portfolio engineering. Strongly founded on the latest cutting edge academic research and investment analytics technology, iOptima™ delivers clear excellence.
iOptima™ directly advocates for the necessity of initializing an integrated quantitative framework, fully implemented in an information system, to support both active and passive investment decisions that concern the ill-structured nature of the equity portfolio engineering process.
It is designed to be fully integrated across all investment functions. It incorporates remarkable computational power and allows a high level interaction with the user, grounding its basis on a very sound framework of sophisticated models and algorithms.
The system’s overall target is to engineer portfolios that offer consistent outperformance with strict risk control relative to underlying benchmarks and provide professionals with an effective, transparent and directly applicable decision support tool.
Through the use of modern multiobjective portfolio optimization approaches that are implemented using state-of-the-art non-proprietary solvers, iOptima™ provides not just one, but the whole set of Pareto optimal portfolios. Therefore the users are not confined to a unique outcome as in single-objective models (one optimal portfolio), but having enhanced degrees of freedom, they can choose the most preferred among the Pareto optimal available portfolios. Moreover, the Pareto optimal portfolio surface is explored, using a user friendly interactive filtering process, finally focusing on the most promising areas to invest.
iOptima™’s key benefits consist of:
- Standard mean-risk portfolio optimization
- Advanced multiobjective portfolio optimization
- Simultaneous consideration of multiple investment criteria, including fundamentals
- Development of tailor-made non-convex investment policies
- Extended use of cardinality constraints
- Adjustments on portfolio’s both systematic and non-systematic risk
- Implementation of complex investment strategies across industry and sectors
- Support for both single security and fund-of-funds (FoFs) portfolio construction
- User friendly decision support for selection among frontiers or surfaces
- Tight control of transaction costs
- Optimization and rebalancing of existing portfolios and positions
- Complex and global investment universe definition options
- International diversification and full support for multicurrency portfolios
- Linear, thus less computational demanding, risk measures
- Solves problems of missing values in historical time-series data
- Ex-ante and ex-post portfolio evaluation and appraisal
- Full consideration of compliance limitations
- Satisfaction of complex trading norms, i.e. the 5-10-40 rule etc.
- Analytical and audit reporting
- User roles definition for advanced information security
- Best-of-breed computational capacity and reliability derived the exploited solvers
- Full tractability of the whole investment decision process
The unique investment analytics that iOptima™ implements, comprises an anti-systemic tailor-made equity portfolio engineering framework, since it departs from the point that the market-standard Markowitz model finishes and proceeds further in the realization of complex and specialized management strategies.
iOptima™ is solidly founded on distinguished cutting-edge research output, thoroughly documented through the years in the most prestigious scientific journals of the field, such as The European Journal of Finance (Taylor & Francis), the European Journal of Operational Research (Elsevier), the Journal of Global Optimization (Springer), the International Journal of Banking, Accounting & Finance (Inderscience) etc.
Let us know if you have any question on the scientific or functional areas of this solution.