Portfolio Probe

Burns Statistics
Investment technology for the 21st century
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  • About
    • About Portfolio Probe
      • Software Quality Assurance
    • Applications of random portfolios
      • Assess Risk Models
      • Bid on a Portfolio
      • Evaluate Constraint Bounds
      • Performance Attribution
      • Performance Fees
      • Performance Measurement
      • Portfolio Construction Process Attribution
      • Quantitative Research
      • Test a Trading Strategy
    • Frequently Asked Questions
    • My Job is…
      • Broker
      • Chief Investment Officer
      • Fund of Funds Manager
      • Fundamental Fund Manager
      • Hedge Fund Manager
      • Investment Consultant
      • Performance Measurement and Attribution
      • Plan Sponsor
      • Quantitative Fund Manager
      • Quantitative Researcher
      • Risk Manager
    • News
    • Random Portfolios in Finance
  • Key Features
    • Computing Engine
    • Constraints
      • Asset Trade Constraints
      • Cost Constraint
      • Count Constraints
      • Distance Constraints
      • Expected Return Constraints
      • Forced Trade Constraints
      • Linear Constraints
      • Long-only Constraint
      • Maximum Weight Constraints
      • Monetary Value Constraints
      • Number of Assets Held Constraints
      • Number of Assets Traded Constraint
      • Number of Closing Positions Constraint
      • Quadratic Constraints
      • Risk Fraction Constraints
      • Sum of Largest Weights Constraints
      • Threshold Constraints
      • Tracking Error Constraints
      • Trade Universe Constraint
      • Turnover Constraint
      • Volatility Constraints
    • Generate Random Portfolios
    • Portfolio Optimization
    • Transaction Costs
    • Utility-free Optimization
  • Demo or buy
    • Academic version request form
    • Demo process details
    • Demo request form
    • Licence Agreement
    • Purchase order form
    • Thank you for your Academic version request
    • Thank You for your demo request
    • Thank you for your purchase request
    • Transaction details
  • User Area
    • Change log
    • Extra packages
    • Frequently Asked Support Questions
    • Documentation
      • Portfolio Probe Cookbook
        • 1. Data basics
          • Add benchmark to variance matrix
          • Example data
          • Prices to returns
          • Read a comma-separated file into R
          • Read a tab-separated file into R
          • Returns to variance matrix
        • 2. Generate Random Portfolios
          • Asset limits
          • Create and plot valuations
          • Give a range for turnover
          • Returns and realized volatility
          • Very simple long-only
          • Very simple long-short
          • Volatility and tracking error constraints
        • 3. Optimize Trades
          • Active with benchmark
          • Active, no benchmark
          • Asset allocation
          • Asset limits
          • Compute a technical indicator
          • Control turnover
          • Create and plot portfolio valuations
          • Dollar neutral (and general case)
          • Impose transaction costs
          • Minimum variance with tracking error constraint
          • Passive with benchmark (minimum tracking error)
          • Passive, no benchmark (minimum variance)
          • Realized portfolio returns and volatility
          • Scenario optimization
            • First four moments utility
            • Generate historical scenarios
            • Generate statistical scenarios
            • Maximize the omega ratio
            • Maximize value
            • Write your own utility function
          • Write optimization results to a file
        • 8. C++ and Portfolio Probe
        • 9. R Notes
          • Using R packages
      • User’s Manual
    • Support policy
    • Some hints for the R beginner
  • Contact
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Professional software for the fund management industry

Portfolio Probe generates random portfolios — use them to dramatically improve your fund management practice. Find out how

Key features of Portfolio ProbeView example applicationsTry 1 month Demo

I am a…

  • Broker
  • Chief Investment Officer
  • Fund of Funds Manager
  • Fundamental Fund Manager
  • Hedge Fund Manager
  • Investment Consultant
  • Performance Measurement and Attribution
  • Plan Sponsor
  • Quantitative Fund Manager
  • Quantitative Researcher
  • Risk Manager
  • Try 1 month Demo
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