How is BlitzPort different from other Portfolio Optimization Processes?
Portfolio Optimizers based upon Markowitz-style Linear Programming techniques try to minimize portfolio risk subject to some specific resource constraints and performance goals. • You must set your goals and constraints before you start your search for optimum portfolios. • You may have to iterate many times massaging an “optimum” solution into one that is practical to execute and honors a strategy. • If a new opportunity comes along or disappears, or a budget level changes, then you go back to the optimizer to get a new portfolio solution.
