Portfolio Optimizer

Autonomous Portfolio Optimizer

Mean-CVaR & HRP

Institutional portfolio weight rebalancing with tail-risk budgets, turnover limits, and liquidity minimums.

Optimization Parameters

Risk Tolerance (λ)50%
Max Single-Asset Weight40%
Minimum Cash Reserve (BIL)5%
Turnover Friction Penalty10 bps

Enforced Constraints

• Tail Risk CVaR α=0.95 10-day horizon

• Cash liquidity floor ≥ 5%

• No single asset concentration > 40%

Optimizer Insights

  • Diversification BonusConstraints effectively force capital out of heavy SPY concentration into safer non-correlated yields.

  • Turnover FrictionRebalancing costs are kept minimal due to defined penalty limits on low-conviction shifts.

  • Yield Floor BufferTreasuries (BIL) provide a hard buffer against tail events while maintaining short-term liquidity.

Optimal Exp. Return

+5.86%

Annualized p.a.

Optimal Volatility

3.73%

Standard Dev

Sharpe Ratio

0.50

Risk-adjusted

Tail Risk (CVaR 95%)

1.51%

10-Day Drawdown

Markowitz Efficient Frontier

Convex MPT

Risk-return optimization frontier across asset weights. Plumb lines anchor portfolios to the risk floor.

Max Sharpe Target
Return:+9.9%
|
Vol:7.3%
|
Sharpe:0.81
2%4%6%8%10%12%14%2%4%6%8%10%12%14%CONSERVATIVE (LOWER RISK)AGGRESSIVE (HIGHER RETURN)3.7%7.3%11.1%MIN VARIANCECURRENT BASELINEMAX SHARPE (0.81)
Efficient Frontier
Max Sharpe Target
Min Variance
Current Baseline
Click any portfolio or hover to inspect coordinates

Asset Allocation Shift: Current vs Optimal Weights

Interactive target rebalancing breakdown per asset class

Current Weight
Optimal Target

Required Rebalance Orders

6 Recommended Orders
AssetCurrentOptimalDeltaNotional ChangeAction
SPY38.0%35.0%-3.0%$300,000SELL
EFA15.0%16.0%+1.0%$100,000BUY
AGG25.0%24.0%-1.0%$100,000SELL
GLD10.0%12.0%+2.0%$200,000BUY
VNQ7.0%8.0%+1.0%$100,000BUY
BIL5.0%5.0%0.0%$0HOLD