IBM Algorithmics Portfolio Optimization with Algo Risk Application

This extension of the standard ARA course provides specialized hands-on training in the use and application of the software’s portfolio optimization functionality.

The objectives and course content include:

• The applications and “building blocks” of portfolio optimization
• How to create and manage portfolio optimization problems in ARA
• How to define and build objective functions
• How to set and populate the universe of tradeable instruments
• Setting limits and trading cost assumptions on individual securities
• Global constraints applied at the whole portfolio and/or group level
• Multi-Objective optimization, and the use of use of normalization and scaling.
• The use of trade budgets and penalties in portfolio optimization

Profil uczestnika

This target audience is the ARA end-user, particularly risk managers/analysts, portfolio managers, traders, and other investment professionals.

Agenda

• Overview of Optimization in ARA
• Steps to Opimization in ARA
• Creating an Optimization Problem in ARA
  • Objective Function
  • Trade List and Limits Table
  • Global Constraints

• Optimization Problem Processing and Results
• Optimization Problem Management
• Use of Trade Restrictions in Optimization

Wymagane przygotowanie uczestników

You should have:

• Prior training and/or experience in the standard ARA application is presumed.
• Basic understanding of the concept and applications of portfolio optimization.
• Training in portfolio optimization also requires the ARA optimization module, with corresponding CPLEX licensing