Most portfolio optimisation tools force you to pre-select a target risk or return first, introducing bias and leading to unstable or suboptimal outcomes.

With the MVO the user does not know what other risk–return combinations are mathematically possible given the holdings universe and constraints.

This paper introduces a simpler, more practical approach: optimise for risk and return at the same time, while also showing the full range of what’s actually possible for a portfolio.

In a real-world portfolio example using ASX-listed ETFs, the new dual-optimisation approach identifies a more efficient allocation than traditional methods, that improves the Sharpe ratio, expected return, volatility and Beta.

Check a Case Study of Portfolio Optimisation using DOOA and contact us with any questions, at contact@lensellgroup.com.