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Investment technology for the 21st century.
Annual Subscriptions Available

Annual subscriptions for Portfolio Probe are now available in addition to the one-off model. The prices are:

GBP: 5000 + VAT per year per concurrent user
EUR: 6250 + VAT per year per concurrent user
USD: 7500 per year per concurrent user

Version 1.05 released

Portfolio Probe version 1.05 was released in late June.  It was primarily a bug-fix release (3 bugs), but included a couple of convenience enhancements as well.  Details are in the Change log:

pprobeData R package

There is now an R package called pprobeData.  This is fictionalized data that can be used for whatever purpose you like.  It has a matrix of daily prices over 6 years for 350 assets (equities).  It has the corresponding matrix of log returns, and it has a data frame of Country (totally made up) and Sector (real but disguised) categorizations of the assets.

To get the package do:

install.packages("pprobeData", repos="")

or if you are not on Windows, you can do:

install.packages("pprobeData", type="source", repos="").

Blog highlights

One of the most popular recent posts is a comparison of several heuristic (genetic algorithm, et cetera) optimization functions in R on a tiny portfolio optimization problem. Portfolio Probe does well, but the problem is too simplistic to really see the quality of the Portfolio Probe algorithm. The post is at:

There was also a post that explains the difference between random portfolios (as generated in Portfolio Probe) and Monte Carlo (as usually thought of in financial planning).  That post is:

Some practical advice on garch modeling was given in:

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