• You can optimize an overlay onto a core portfolio for different rebalancing, return, and risk horizons.

• You can examine the optimal overlay allocations for different definitions of risk such as Vol, VaR, MinVaR, and the overlay’s Tracking Error.

Hedging Investment Opportunity Set Shifts

• If you want to hedge against potential shifts in the efficient set of portfolios, what are the hedging portfolios?

• You are sufficiently content with your incumbent portfolio, but want to tweak the asset allocations in response to short run changes in your assessment of the markets’ return-risk characteristics.

• You want to do this without a new capital infusion.

• You want to do this without a wholesale transition to a new portfolio and you may want to include new asset classes or their subclasses.

Optimizing an Inefficient Core Portfolio

• You want to optimize the overlay such that the resulting expected return and risk for the entire portfolio is optimal.

• You want to optimize a portfolio's transition weights over the transition period, subject to cost reducing constraints.

• You want to avoid net short positions in the asset classes.

• You want to limit the amount of total risk added by the overlay to the underlying core portfolio.

• You want to restrict some of the allocations such as illiquid alternatives.

• You want to perform scenario generation and stress testing on the optimal overlays with stressed parameters.

Alpha Considerations

• You want to investigate the weight changes when you include the Alphas and Tracking Errors in the expected returns and Vols of the overlay assets compared to the core portfolio.