Portfolio Optimization

Use this window to set up a Portfolio Optimization analysis. The optimization reads in results from standard Aurora simulations (from an output database) to evaluate candidate resource/contracts for a portfolio.

The expected portfolio return is maximized given a set of acquirable resources with expected performance under multiple future scenarios along with portfolio demand requirements, an RPS target, and other constraints.

Each portfolio found by the simulation will lie along the Efficient Frontier, which means that no other portfolio with higher reward at the same risk level exists, and no other portfolio with lower risk at the same reward level exists. The risk metric is the variance of portfolio cost.

The Portfolio Optimization input table contains the list of resources/contracts which are available to be acquired in the portfolio.

For a detailed explanation, see the Portfolio Optimization Knowledge Base article.

To use this logic, you must first complete at least one standard simulation which produces output for the potential portfolio resources/contracts. Generally, for the most robust solution, many risk iterations will be performed in order to give the optimization information on the performance of each resource/contract under numerous scenarios. A time period is specified (Year, Month, Day, or Hour) for the optimization, and the following output tables are needed from that time period:

Zone
PortfolioSummary
Resources
PortfolioContracts (if contracts are being used)

The ZoneYear and PortfolioSummaryYear output tables are also needed, even if the time period specified is not Year. The output database used by the optimization is specified in the standard Reporting window.

Select Portfolio Optimization from the Active Study Type dropdown to activate the Portfolio Optimization logic dialogs:

Simulation Options

Portfolio Optimization