## WealthiOR™

WealthiOR™ is a uniquely powerful tool for asset allocation that provides a truly dynamic portfolio optimization against a highly customizable specification of an investor’s financial situation and preferences. The system thereby provides investors with an enhanced ability to manage risk and to attain better investment results over the long term.

In turn, using the WealthiOR™ system enables investment advisors to more effectively service their clients, be they individual or institutional. It does so by supporting a knowledgeable discussion of customized alternatives based on scientific, reproducible analysis. Presentation of forward-looking analysis coupled with a dynamic rebalancing strategy strengthens the advisor-client relationship by promoting reasonable performance expectations and a natural path for evolving the client’s portfolio as events materialize over time.

Unlike other portfolio optimization tools that purport to be dynamic in some way, WealthiOR™ employs stochastic dynamic programming to compute an optimal portfolio strategy over time. At each period the system determines an optimal allocation conditional on the attained value of the portfolio as of the beginning of the period. This optimal allocation depends on the time remaining in the investment horizon plus other customized factors, such as investor risk preference, the pattern of cash flows over time, and the return distributions of the available assets.

Given the optimal dynamic strategy, WealthiOR™ uses Monte Carlo simulation to compute a large number of possible evolutions of portfolio value over time. From this is derived a probability distribution of attained portfolio value for each period of the investment horizon. These and other views of portfolio performance are displayed graphically in the user interface, and the underlying data is readily downloaded in a form suitable for input to spreadsheets, database systems, and the like.

### WealthiOR™ Features

- Multiple specifications and parameters for specifying the utility of end-horizon portfolio value (and its corresponding risk aversion)
- Optional configuration of downside risk controls as an aversion to falling below a given target value in any period of the horizon
- Specification of an arbitrary (+/-) pattern of cash flows over time
- Specification of “side constraints” in the form of lower and upper bounds on the holdings of individual assets and/or of groups of assets
- Ability to perform a standard Markowitz mean-variance optimization
- Ability to restrict the optimization to consider only a fixed-mix strategy
- Presentation of the traditional efficient frontier of expected return vs. risk
- Pie chart and text display of optimal initial portfolio
- Graphical display of simulation results and of the value distribution for any selected period
- Graphical display of the optimal allocation in any selected period as a function of attained portfolio value
- Downloading of results in comma-separated-values format
- Simple text format for loading asset properties from a file (means, standard deviations, and either correlations or a time series of returns from which to compute correlations)
- Deployed as a lightweight web application
- Easy-to-use interface accessed through one’s favorite web browser