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Below is a list of commercial vendors who have developed optimization methods for portfolio construction and portfolio risk control. Most of these models utilize simplifications of mean-variance Modern Portfolio Theory (termed asset allocation or style allocation) in conjunction with fundamental factor models, macroeconomics factor models, or statistical factor models. Many are proprietary in the sense that they do not disclose their methods of selecting portfolios. The user should beware that none of these vendors quantify memory to be used in timing decisions. Unlike the Digital Portfolio Theory™ model time is not included as a relevant variable by most of these vendors other than by applying questionable technical analysis methods. None of these vendors are licensed to utilize the Digital Portfolio Theory™ engine available in the PSS software package and therefore none utilize calendar based risk or longer term risk considerations that allow timing decisions to be rationally included in the long term investment decision process. Many fortunes have been made or lost as a result of timing consideration. When it comes to generating advice for your portfolio the risk of timing decisions is not measured and many of these methods do not consider long term or short term memory. |
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Frank Russell Company |
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For more information : kenjones@portfolionetworks.com |
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