Algorithm for interpolation

Derived from volatility surface computation (Black–Scholes–Merton model + Vanna-Volga pricing), the portfolio is calculated based on internal risk-return metrics

Risk estimation

Goes beyond the usual lognormal assumption, by using non-parametric short-term measurements (Historical Value-at-Risk) over 1 year

Dual-risk combined estimation

Combines the short & long-term estimates, preventing the optimizer from being an error maximizer à-la Richard Michaud

Optimal portfolios

Construct the “efficient frontier" for maximum possible expected return, for a given level of risk, based on Markowitz's Modern Portfolio Theory (MPT)

Dynamic rebalancing

Integrates Constant proportion portfolio insurance (CPPI) with threshold-based optimized multiplier for enhanced returns

Investment protection

Combines the short & long-term estimates, preventing the optimizer from being an error maximizer à-la Richard Michaud