Which software programs are best at performing optimization of investment portfolios? What makes the programs preferable? Please provide pros and cons if applicable.
I used Matlab in my last paper on portfolio investments. It is quite simple to use, but the software is expensive.
Currently do simulations in a practical way the market and I'm using R project. It is also not too complex to be used, the advantage is that the software is free.
The matlab has more functions ready in finance that R as the VaR model.
Another option is to use Scilab is a free version of matlab, it also has functions in the area of investment portfolios.
Remember that I'm quoting the classical model of Mean Variance, if for other newer models you will depend on the platform or from the author developed to program the model.
The portfolio models in Matlab or Scilab has examples in Help.
The R learned to use in the course of the Zivot Coursera.
Thank you for your reply, @Melquiades. How big of a set of assets are you able to estimate in a reasonable amount of time? Is S&P 500 feasible? Execution time (approx)?
I would choose Python. Super optimized, fast, incredible number of libraries, and super flexible. C++, can be and it is faster, if things are really ugly on your side...The cost of doing it with C++ is quite steep.
Hi @James,
The computational effort tends to increase with the amount of assets that you enter in the model. I do some simulations with Small Caps and Bovespa index in Brazil with about 70-80 assets. It only takes a few seconds to execute, for use classical Markowitz model.
In the case of the S & P500 is feasible, if you are interested you can contact me by message. In the case of the classical model the effort will not be so great for asset allocation. The discrete model, on the other hand provides for finding the exact amount of each lot of assets to be invested.
In the discrete model which requires more computational effort, you may can use software that supports better as Python and C + + as suggested by @Ioannis
This an open-source implementation of Portfolio Optimization using metaheuristics in MATLAB:
http://yarpiz.com/391/ypap112-portfolio-optimization
However, the MATLAB itself is not free to use. You can use Octave instead of MATLAB, if you will. Maybe you have to modify the codes, to bu runnable in Octave.
Check out GAMS-General Algebraic Modeling System. It is flexible and embodies all state of the art optimizers. Perfect for research.
It has a library of Financial Optimization models too, from the basic mean-variance to state of the art.
Disclosure: The library is based on my own book Practical Financial Optimization. Decision making for financial engineers (Blackwell-Wiley Finance), so I do not claim to be unbiased.
https://www.gams.com/finlib/libhtml/
Book Practical Financial Optimization. Decision making for financ...
Hi, I think, for performing financial portfolio optimization MAT lab software is best. Also, you can used FORTRAN software. But should be best to codding in MAT lab software.
Please try the Portfolio Analytics package in R:
https://cran.r-project.org/web/packages/PortfolioAnalytics/PortfolioAnalytics.pdf
https://cran.r-project.org/web/packages/DEoptim/DEoptim.pdf
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