|Portfolio Probe version 1.02 released
Version 1.02 of Portfoliio Probe is now released. One of the most visible changes is the addition of weighted sums of squares distances. The usefulness of this was discussed in the "Goldilocks and the 3 Pigs" talk: http://www.burns-stat.com/pages/Present/goldilocks_3pigs_annot2.pdf
Another useful change was to make the valuation of optimized portfolios more convenient.
Also useful (but boring) were the elimination of a few bugs and the improvement of some error messages.
Why Portfolio Probe?
Portfolio Probe does two things:
There are many uses of random portfolios, but they have most impact for:
generates random portfolios
There are two major divisions for the portfolio optimization:
performance measurement and attribution
testing risk models
general quant tool (including backtesting)
The last item on distance optimization is the reason for the sum of squares addition to version 1.02 that is highlighted above.
mean-variance type (includes maximize information ratio)
minimize distance from an ideal target portfolio
Free to academic departments
Portfolio Probe is now available free for academic use -- both for teaching and for research. See the Portfolio Probe website for details.
From the blog
There have now been thirty-something posts in the Portfolio Probe blog. Most of the posts fall into one of the categories:
However a few of the posts involve the Portfolio Probe software. These were:
explanation of quant concepts
ideas and mysteries concerning fund management
http://www.portfolioprobe.com/2010/08/19/a-performance-step-beyond-economists-hubris/ which responds to a paper that talks about performance measurement (among other topics).
http://www.portfolioprobe.com/2010/08/24/elevated-stock-correlations/ discusses an article in the Financial Times and talks about how random portfolios can identify the opportunity that fund managers have to outperform.
http://www.portfolioprobe.com/2010/11/05/backtesting-almost-wordless/ introduces the use of random portfolios for backtesting.
http://www.portfolioprobe.com/2010/12/16/feeding-a-greedy-algorithm/ describes what greedy algorithms are and a bit about their use in Portfolio Probe.
The RSS feed is only to follow the blog. There is only email signup (on the Portfolio Probe website) for this newsletter. There is a separate email signup for the Portfolio Probe users' support list.
Thank you for your interest in Portfolio Probe. Best wishes for the new year.