New advances for wedding optimization and simulation
Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1
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New advances and applications for marrying simulation and optimization
WSC '04 Proceedings of the 36th conference on Winter simulation
Advances in analytics: integrating dynamic data mining with simulation optimization
IBM Journal of Research and Development - Business optimization
Selection of efficient portfolios-probabilistic and fuzzy approach, comparative study
Computers and Industrial Engineering
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OptFolio is a new portfolio optimization software system that simultaneously addresses financial return goals, catastrophic loss avoidance, and performance probability. The innovations embedded in the system 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. The new software system takes a much more sophisticated and strategic direction. State-of-the-art technology integrates simulation and metaheuristic optimization 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. In this paper we will present new techniques that increase the flexibility of optimization tools and deepen the types of portfolio analysis that can be carried out. We include examples applied to energy, pharmaceutical, and information technology portfolios.