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“Now that we have the efficient frontier, let’s create a benchmark portfolio for day-to-day
management. Let’s backtest the performance over the past year and then compare Sharpe and Treynor ratios. We should also create a hedge strategy using either options or futures options
given our RBF neural network forecast for the markets...”
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WinORS Overview
Wow! Serious applications in the quantitative sciences have never been so meaningful.
WinORS applications are designed to support a complete analysis of
the decision problem.
In control. The decision-maker always has the required statistical,
graphical, and report output that is needed for a detailed analysis of the problem.
WinORS uses multiple workbooks to break down a solution by
concept. This approach permits the analyst to focus on specific decision-making components for a complete problem analysis.
So, you want to...
- Compute Value-at-Risk (VaR) for net international cash flows
- Build a large-scale Markowitz efficient set form actual data in as few as five mouse-clicks
- Test option spread strategies for any firm with CBOE traded options
- Option spread strategies using index based options
- Portfolio backtesting with auto-comparison to an efficient set portfolio
- Constrained quadratic programming implementation of efficient portfolio problem
- Financial arbitrage pricing (APT) with 5 mouse clicks
- Financial statement analysis of historical and pro forma industrial and depository analysis from an online
database in 3 mouse clicks
- Forecast high-frequency financial data using the Kajiji-4 Radial Basis Function Network
- Forecasting methods by mouse click from the exponential smoothing family to artificial neural networks
- Perform a regression-based analysis with regression ANOVA support, graphical diagnostics, and interactive
help files
- Descriptive statistics
- Factor-analyze financial data with a choice of similarity matrix, factor methods, and factor scores
- Perform constrained optimization: linear, quadratic, branch-bound mixed-integer, cutting plane mixed integer
, zero-one, linear and nonlinear goal programming
- And... yes, there is more...
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