OptFolio – A Simulation Optimization System for Project Portfolio Planning


OptFolio is a best-in-class portfolio optimization software system that simultaneously addresses financial return goals, catastrophic loss avoidance, and performance probability. The innovations embedded in the system enable users to confidently design effective plans for achieving financial goals, employing accurate analysis based on real data. Traditional analysis and prediction methods are typically based on mean variance analysis, a methodology known to be unstable. OptFolio utilizes a much more sophisticated approach, integrating simulation, metaheuristic optimization techniques, and linear programming into a system that guides a series of evaluations to reveal truly optimal investment scenarios.

In this paper, we first present an overview of real-world business applications for project portfolio planning and inferior techniques that have been used to date. We then discuss the introduction of simulation optimization as a more effective approach toward portfolio optimization. We conclude with examples of utilizing OptFolio to solve portfolio planning problems across the petroleum and energy, pharmaceutical, and information technology domain areas.

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