|Annual Subscriptions Available
Annual subscriptions for Portfolio Probe are now available in addition to the one-off model. The prices are:
Version 1.05 released
GBP: 5000 + VAT per year per concurrent user
EUR: 6250 + VAT per year per concurrent user
USD: 7500 per year per concurrent user
Portfolio Probe version 1.05 was released in late June. It was primarily a bug-fix release (3 bugs), but included a couple of convenience enhancements as well. Details are in the Change log: http://www.portfolioprobe.com/user-area/change-log/
pprobeData R package
There is now an R package called pprobeData. This is fictionalized data that can be used for whatever purpose you like. It has a matrix of daily prices over 6 years for 350 assets (equities). It has the corresponding matrix of log returns, and it has a data frame of Country (totally made up) and Sector (real but disguised) categorizations of the assets.
To get the package do:
or if you are not on Windows, you can do:
install.packages("pprobeData", type="source", repos="http://www.portfolioprobe.com/R").
One of the most popular recent posts is a comparison of several heuristic (genetic algorithm, et cetera) optimization functions in R on a tiny portfolio optimization problem. Portfolio Probe does well, but the problem is too simplistic to really see the quality of the Portfolio Probe algorithm. The post is at: http://www.portfolioprobe.com/2012/07/23/a-comparison-of-some-heuristic-optimization-methods/
There was also a post that explains the difference between random portfolios (as generated in Portfolio Probe) and Monte Carlo (as usually thought of in financial planning). That post is: http://www.portfolioprobe.com/2012/07/02/random-portfolios-versus-monte-carlo/
Some practical advice on garch modeling was given in: http://www.portfolioprobe.com/2012/07/06/a-practical-introduction-to-garch-modeling/
Thank you for your interest in Portfolio Probe.