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 (λ)

Controls trade‑off between return and downside risk in Balanced LPM, as utility = annualized return − λ × annualized downside deviation. Higher λ prioritizes minimizing downside (default 2, matching the Mean‑LPM frontier parameterization).

Will run: LPM•Solver: Genetic algorithm (100 pop × 500 gen)•MAR τ = 0% annual•Lookback: 36 mo

Detailed methodology will appear with the results below.

Constraints

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

Manager Constraints

Category Constraints

Configuration & Constraints Summary

As of

—

Lookback

36 months

Objective

Balanced LPM

Benchmark

None

MAR (annual)

0.00%

Target Return (annual)

8.00%

Risk Aversion (λ)

2.00

Selected Managers

Manager Limits

No managers selected.

Category Caps

No categories detected.

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