We have had the pleasure of assisting several asset management companies in optimizing their business.
For one of the largest European banks we have developed a portfolio optimization system using an extended version
of the traditional Mean-Variance optimization.
The approach is extended in the way returns and volatilities are calculated as well as the way constraints are
incorporated. The approach has proven superior since 1999.
In calculating returns and volatilities for longer investment horizons it is important to take behavioral finance
effects into account.
You are welcome to contact us for references.