What are advanced Efficient Frontier portfolio management capabilities?
Dr. Jabbour: Portfolio Management is a process through which a company estimates risks and returns of corporate assets and evaluates alternative decisions to improve the existing risk/reward position. Most portfolio management applications are limited to closed form financial engineering solutions that provide commonly used metrics such as MTM, Greeks, and various forms of VAR. Advanced portfolio management techniques allow risk managers to find a set of alternatives that offer the best achievable return for a given level of risk (called Efficient Frontier). An Efficient Frontier portfolio is one where no added diversification can lower portfolio risk for a given return expectation (and no additional expected return can be gained without increasing portfolio risk). Efficient Frontier solutions require advanced full simulation techniques that can be difficult to implement. Dr. Vasey: What are the implementation challenges of advanced Efficient Frontier portfolio optimization? Dr. Jabbou
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