1. DEA-Solver-Pro 9.x
- Home: http://www.saitech-inc.com/
- Download Trial: http://www.saitech-inc.com/Products/DownloadDEA.asp
DEA-Solver-Pro Is designed on the basis of the textbook: Data Envelopment Analysis-A Comprehensive Text with Models, Applications, References and DEA-Solver Software, by W.W. Cooper, L.M. Seiford and K. Tone, 
2nd edition (Springer 2006)The new version 9.0 includes a new feature called dynamic SBM with network structure model, which basically combines two popular functions, dynamic DEA and network DEA. It allows evaluation of networked DMU's in a multi period framework. For more details, see Latest Newsletter. The latest release is 9.0f, which solves Dynamic Network SBM models with more than 5,000 DMUs, includes modified output for WeightedSBM-C,-V ("Score") and revised samples
2. Smart Folio Professional editon
Home page: http://www.smartfolio.com
SmartFolio is a state-of-the-art asset allocation software aimed at all types of investors and investment professionals. Active SmartFolio users include institutional portfolio managers, investment advisors and sophisticated private investors. SmartFolio contains advanced asset allocation, portfolio optimization and risk management techniques, based on the most recent achievements in portfolio theory .
The software combines highly advanced and innovative analytics with a user-friendly, intuitive interface, perfectly suited to any level of expertise and experience. The standard approach still taken by most investment management and portfolio optimization software packages is essentially based on the one-period model proposed by Harry Markowitz in 1952. This model is overly simple, and while it is computationally efficient, it also suffers a number of serious drawbacks. These drawbacks are listed below with information on how SmartFolio handles each of them.
Conventional software
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SmartFolio
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Since the Markovitz model is single-period,
you are not allowed to rebalance your portfolio during its lifespan.
This might be OK for short-term investments, but is a serious problem
for long-term investment plans.
|
We have placed continuous-time portfolio theory
at the heart of SmartFolio. This approach is much more realistic as it
enables you to rebalance your portfolio from time to time.
Using our built-in tools, you can construct portfolio strategies that not only benefit from rebalancing, but also minimize rebalancing transaction costs. |
The Markowitz model assumes that the parameters which define market state are known.
This applies to the expected returns and volatilities of assets, as
well as asset interdependencies, measured using correlations.
This assumption together with the common practice of replacing these values with their sample counterparts leads to unjustifiably risky portfolios with weights concentrated in a small number of assets. As a result, in the real world, portfolios obtained in such a way often perform quite poorly. |
SmartFolio implements various techniques to handle this problem, known as parameter uncertainty. These techniques include:
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Markowitz assumed that asset returns are normally distributed.
Unfortunately even such "regular" assets as stocks and bonds deviate
slightly from normality. This is particularly true for more complicated
financial instruments such as derivatives or hedge funds.
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Along
with standard analytical methods that utilize normal distribution of
returns, SmartFolio includes tools that enable you to test and optimize
your portfolios directly on historical data.
"Normal model" approach is by far more computationally efficient and stable, while the "historical simulation" approach gives you more realistic results especially when performing risk analysis using Value-at-Risk. Thus, combining these two methods allows you to achieve the best result. |
Portfolio
selection in the Markovitz model is based on the Risk-Reward criterion:
first you define an acceptable level of portfolio variance, and then
you find the portfolio that maximizes return for the given level of
risk.
The problem with this approach is that variance is highly inadequate as a measure of risk; even when a portfolio’s returns satisfy the "normal distribution" condition, its financial sense remains obscure for the investor. An alternative approach that exploits utility functions suffers from another weakness; an investor’s risk-aversion coefficient, which defines his utility function, is very difficult, if even possible, to estimate. |
Along with
the standard utility-based approach, SmartFolio incorporates another
technique of determining your investment goal. This is based on the
assumption that what you care most about when selecting your portfolio
is the probability that your portfolio beats the target growth rate.
Rates and probabilities are well-defined and very intuitive notions; therefore there is a much lower chance that you will not be satisfied with your investments just because your goals were estimated incorrectly. |
3. Một số phần mềm thống kê, dự trắc rủi ro thị trường chứng khoán khác:
- DEA-Solver-Pro
- Smart Folio Professional editon
- DecisionTools Suite 5.5 Industrial
- XCelsius Present 2008
- XLStat 2008
- CompetitiveStrength
- ITHINK
- STELLA
- Premium Solver Platform
- Frontier Analyst
- MarketAttractiveness
- Alyuda software: Alyuda Forecaster, Alyuda Forecaster XL, Alyuda NeuroIntelligence ... http://www.alyuda.com
- Systat software: AutoSignal, Enzyme_Kinetics, PeakFit, SigmaPlot, SYSTAT, TableCurve 3D ... http://www.sigmaplot.com
- Vanguardsw software: BusinessAnalyticsSuite... http://www.vanguardsw.com
- Resample software: XLMiner... http://www.resample.com/xlminer/dlxlm.shtml
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