MvoPlus - Multi-Period MVO
Geometric Mean Frontier
MvoPlus 1.6 (download file MP1621.exe)
Updated for Vista and Windows 7
- 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
- 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
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