Volatility-Aware Portfolio Optimization
Portfolio optimization using GARCH volatility forecasts for forward-looking risk estimates
GARCH Forecasting
Efficient Frontier
Risk Management
Configuration
Set up your portfolio optimization parameters
Run optimization to see results
About Volatility-Aware Portfolio Optimization
Key Features
- Uses GARCH models for forward-looking volatility estimates
- More accurate risk assessment than historical volatility
- Captures volatility clustering and mean reversion
- Supports volatility constraints for risk management
Benefits
- Better portfolio allocation decisions
- Improved risk-adjusted returns
- Dynamic risk management
- Regulatory compliance support