Innovation: Robust near-optimal portfolio construction
13 September 2019
The latest innovation of Ortec Finance in GLASS addresses the challenge of pension funds and insurance companies to construct an investment strategy that satisfies risk budget. The innovative near-optimal optimization technique contains a smart algorithm to find all optimal portfolios within your risk budget in a fast, robust and efficient way. This facilitates to incorporate quantitative and qualitative input in the ultimate portfolio construction process.
In this infographic, we explain a 4-step process to explore this innovative technique to support the portfolio construction process.
This blog post explores three approaches to measuring the impact of liabilities on SAA: actuarial simulation, replicating portfolio, and product-based dynamic liability modelling. It also compares the advantages and disadvantages of each approach in terms of accuracy and runtime efficiency, highlighting the benefits of a dynamic liability modelling approach as a fast, flexible, and efficient solution for multi-scenario SAA analyses in a full ALM context.
Creating inflation-resilient portfolios through private assets
Inflation-protected portfolios typically provide a combination of diversification benefits and return improvement. For example, by diversifying to “real assets”, like commodities, direct real estate ...