The ALM Optimizer

Product Features 

The software will facilitate your solutions to the following topics and questions.

• You can optimize a standard portfolio over its foreign currency hedges and investigate its performance in Scenario Generation, accounting for the uncertainty in your optimization inputs.

• You can perform the optimizations using a return or surplus optimization variable and for different rebalancing, return, and risk horizons.

• Accounts for current market forward pricing

• Available in asset only and LDI

• Hedge parity constraints

• Flexible roll and optimization horizons

• Exportable to Scenario Generation

• Inputs and Outputs are similar to the other modules and are fully integrated with scenario generation.