Finvex Group releases second generation of R-Equity portfolio optimizer
Finvex Group has released its second generation R-Equity engine for advanced portfolio optimization. “Our platform is utilizing the differential evolution algorithm in a parallel manner when optimizing a portfolio. We can now take into account forward looking dynamic estimates of higher co-moments” says Christophe Pecoraro, Head of Structuring at Finvex Group.
Our second release of R-Equity allows us to change the objective function from the established minimum variance function to more complex risk functions such as expected shortfall and this in combination with ex ante compliance with quadratic and linear constraints”, adds Joakim Darras, Founding Partner of Finvex Group.
“Proper risk analysis is the better starting point for professional equity investing”, says Benedict Peeters, Founding Partner of Finvex Group,” and we continue to advance looking at adding new features to deal with regime changes and high frequency data”