OPTIMAL INVESTOR™ provides professional and sophisticated investors with the tools and methods to optimize risk management and asset allocation. The software makes available to users the latest academic research in finance and uses a non linear switching model of return variance to price options, calculate VAR (value at risk) and implement the geometric mean portfolio strategy.
Traditionally financial market and time series analyses has generally relied on many assumptions in regards to the distribution and dependence structure in data. The usual practice has been to massage away variations from this ideal and in the process lose much valuable information.
The processes that create time series data are usually extremely complicated and OPTIMAL STATISTICS seeks to produce software that attempts to deal directly with this complexity. This kind of analysis has previously been largely confined to academics and dedicated researchers.