Dashboard

Resilience: Portfolio Optimization

Construct model portfolios with LPM and mean–variance methods

Optimization Configuration

Configure the optimization parameters. LPM methods focus on minimizing downside risk relative to a threshold (MAR), while traditional methods minimize total volatility.

Managers

0 selected

Portfolio Model

Load managers from a saved Portfolio Model. Selecting a model will populate the managers list with the model's holdings.

As ofLookback (months)BenchmarkObjectiveMAR (%)

Minimum Acceptable Return (MAR) - the threshold below which returns are considered losses. Common values: 0% (preserve capital), 2-4% (inflation), 6-8% (opportunity cost).

Target Return (%)Risk Aversion

Higher values prioritize downside protection over returns. 1 = Risk neutral, 3 = Moderate aversion, 5+ = High aversion

Constraints

Set allocation limits for individual managers and categories. These ensure diversification and compliance with investment guidelines.

Manager Constraints

Category Constraints

Configure optimization parameters and click "Run Optimization" to see results