MvoPlus - Multi-Period MVO

Geometric Mean Frontier

Current version

MvoPlus 1.6 (download file MP1621.exe)

• Updated for Windows Vista
• This is a free upgrade for all owners of MvoPlus 1.0 through 1.5
• Existing owners: use your serial number to download the latest version.
• New customers: obtain serial number for free 30-day trial.
• View sample screens

Description

• Multi-period mean-variance optimizer
• Computes the Geometric Mean Frontier
• Analogue of the efficient frontier when the geometric mean is used as the measure of portfolio return
• Based on recent developments in portfolio theory

Features

MvoPlus has all the features of VisualMvo, plus:

• The ability to optimize for true multi-period (geometric mean) return of rebalanced portfolios.
• In MVO mode, MvoPlus accepts, and treats correctly, either arithmetic mean or geometric mean returns as inputs.
• In DATA mode, MvoPlus functions as a backtester and approximate optimizer of historical data.

In both MVO mode and DATA mode, MvoPlus computes and displays three properties of each portfolio allocation, and three corresponding frontier plots:

• The arithmetic mean return of the rebalanced portfolio
• The geometric mean return of the rebalanced portfolio
• The return of the corresponding unrebalanced portfolio