Multi-Dimensional Portfolio Optimization with @RISK

Author: Eric Torkia/Tuesday, June 28, 2016/Categories: Monte-Carlo Modeling, Analytics Articles

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Multi-Dimensional Portfolio Optimization with @RISK

Many speak of organizational alignment, but how many tell you how to do it? Others present only the financial aspects of portfolio optimization but abstract from how this enables the organization to meets its business objectives.  We are going to present a practical method that enables organizations to quickly build and optimize a portfolio of initiatives based on multiple quantitative and qualitative dimensions: Revenue Potential, Value of Information, Financial & Operational Viability and Strategic Fit. 
This webinar is going to present these approaches and how they can be combined to improve both tactical and strategic decision making. We will also cover how this approach can dramatically improve organizational focus and overall business performance.

We will discuss these topics as well as present practical models and applications using @RISK.

Discussion Topics

Optimization Basics

  • Typical Optimization Applications
  • What is non-linear stochastic optimization
  • Objectives and constraints - things to know about optimization

Quick Overview of Portfolio Theory

  • Overview of conventional portfolio methods (financial, strategic, IT...).
  • Markowitz and the efficient frontier
  • Viability/Fit method

Optimizing with value of information and other critical dimensions

  • What is value of information (VOI)
  • How can VOI and portfolio methods be used to improve decision-making
  • How does the VOI impact portfolio decisions

Building and running the model

  • Overview of the components of the portfolio model
  • Run a quick optimizations using different dimensions and discuss results
  • Questions and Answer Period


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Modeling Time-Series Forecasts with @RISK: Concepts and Overview

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I would like to thank the people at Palisade for arranging the webinar as well as their continued support and availability to answer our questions as well as provide insight. 

If you have any questions or comments, please don't hesitate to drop me a line at 1-888-879-8440 x101 or send me a note at  [email protected].


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