SmartFolio 3 is a Accounting Software product from smartfolio.com, get 5 Stars SoftSea Rating, SmartFolio is a state-of-the-art asset allocation program for investment experts and private investors. SmartFolio contains advanced asset allocation, portfolio optimization and risk management techniques, based on the most recent achievements in portfolio theory.
SmartFolio combines highly advanced and innovative analytics with a user-friendly, intuitive interface, perfectly conformable to any level of expertise and experience.
What's new in SmartFolio 3:
The Black-Litterman model
Walk-forward optimization
Import from Bloomberg Professional
Import from an Excel table
Batch import
Automatic update from all data sources
Vista support
SmartFolio will help you solve a variety of practical tasks including:
Asset performance ranking

Identification of investor"s goals

Portfolio optimization

Efficient frontier construction

Analysis of portfolio risks

Analysis of target shortfall probabilities

Minimization of transaction costs that arise during rebalancing

SmartFolio Features:
Fully supports the multi-period investment paradigm.

Fully supports portfolios featuring assets with non-Gaussian distribution of returns, or non-linear inter-dependencies, including options and hedge funds. This is achieved through direct simulation of portfolio dynamics with no model assumptions.

Simultaneous creation of two environments for portfolio analysis:
Analytical environment: logarithmic price increments are assumed to be independent normally distributed random variables.
Historical environment: optimization and other procedures are based directly on historical prices.
Risk-free asset option.

Factor-selection option for a factor-based asset pricing model.

Stambaugh combined-sample estimates, used if asset histories differ in length.

Jorion expected-returns estimate, which shrinks sample average returns to a common value.

Ledoit-Wolf covariance-matrix estimate, which shrinks the sample covariance matrix to the constant correlations covariance matrix.

Pastor-Stambaugh-Wang joint estimate of expected returns and covariances, which shrinks sample estimates to their respective counterparts, implied by the selected factor model.

MacKinlay-Pastor joint estimate of expected returns and covariances, based on the assumption that prices are explained by an unobservable factor.

The Black-Litterman model that incorporates subjective invetsor views in parameter estimation and asset allocation process.

Three optimization criteria:
Maximization of an expected utility with constant relative risk aversion
Minimization of target shortfall probability
Benchmark tracking.

Worst-case scenario optimization: the resultant portfolios demonstrate optimal behavior under the worst-case scenario.

Walk-forward optimization

Optimization engine based on IPOPT (Internal Point OPTimizer) - one of the most strong nonlinear optimizers available today.

Calculation of target shortfall probabilities according to selected ranges for the investment horizon and target rate.
Simultaneous calculation of two risk measures: Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR).

Various techniques for calculation of VaR and CVaR, including:
Delta-Normal Method (DNM)
Empirical distribution
Implied normal distribution
Implied non-central t-distribution
Cornish-Fisher expansion.
Construction of VaR and CVaR surfaces according to selected ranges for the investment horizon and significance level.

Simulations of portfolio strategies with continuous rebalancing.

Simulations of portfolio strategies with continuous rebalancing and portfolio insurance - these strategies are optimal in a situation when a predetermined portion of the initial wealth and/or accumulated profits must be maintained.

Portfolio-strategy simulations with "inaction region" rebalancing - these strategies are optimal in the presence of proportional transaction costs.

Portfolio-strategy simulations with "inaction region" rebalancing and portfolio insurance. The license of this business & finance software is Free Trial Software, the price is $599.00, you can free download and get a free trial before you buy. If you want to get a full or nolimited version of SmartFolio, you can buy this business & finance software.