OptQuest software tutorial: portfolio optimization for capital investment projects

  • Authors:
  • Jay April;Fred Glover;James Kelly

  • Affiliations:
  • OptTek Systems, Inc., Boulder, CO;OptTek Systems, Inc., Boulder, CO;OptTek Systems, Inc., Boulder, CO

  • Venue:
  • Proceedings of the 34th conference on Winter simulation: exploring new frontiers
  • Year:
  • 2002

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Abstract

The new portfolio optimization engine, OptFolio™, simultaneously addresses financial return goals, catastrophic loss avoidance, and performance probability. The innovations embedded in OptFolio enable users to confidently design effective plans for achieving financial goals, employing accurate analysis based on real data. Traditional analysis and prediction methods are based on mean variance analysis -- an approach known to be faulty. OptFolio takes a much more sophisticated and strategic direction. State-of-the-art technology integrates optimization and simulation techniques and a new surface methodology based on linear programming into a global system that guides a series of evaluations to reveal truly optimal investment scenarios. OptFolio is currently being used to optimize project portfolio performance in oil and gas applications and in capital allocation and budgeting for investments in technology.