Omnia Invest gives the optimal diversed portfolio given a investors criteria and risk averse factor.
Given a data of daily returns for N assets, Omnia Invest will search for the optimal portfolio of n <= N assets.
Investor can provide a set of constraints how the portfolio should be structured:
-
Percentages of certain categories that should make up the portfolio i.e.
- at least 15% green eco-friendly assets
- at least 10% real estate
- etc.
-
Level of risk
-
Expected return
The method uses iterative deepening depth first branch and bound search method. Each combinations of assets score is calculated giving an upper bound to prune combinations.
CSV files for N Icelandic stocks from http://www.nasdaqomxnordic.com/shares/historicalprices
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