Optimizing Total Portfolio Design

Tactical positioning often requires dynamic adjustments to reflect evolving market views, and can quickly become a complex challenge, particularly when decisions span multiple asset classes and involve balancing risk, return, and various policy mandates. Yet, many portfolio managers rely on ad-hoc tilting or spreadsheet-based portfolio construction methods that are manual, iterative, and difficult to scale. Optimization remains underutilized – not due to lack of relevance, but because it is often perceived as too complex for what may seem like straightforward allocation adjustments.

This case study outlines a practical, three-stage approach to total portfolio design that efficiently balances competing objectives while satisfying multiple restrictions. Rather than treating optimization as a one-off technical tool, this framework embeds it at every level of the investment process, helping portfolio managers translate their views into consistent, risk-aware portfolios while enabling collaboration across CIOs, asset class leads, and implementation teams.

Read this case study to learn about:

• How to structure constraints across asset class, regional, and tracking error limits within a unified optimization framework
• Practical constraint setups for multi-asset portfolios spanning equities, fixed income, private markets, and commodities
• Implementing granular tactical adjustments while respecting higher-level allocation limits
• Security-level optimization modeling including issuer concentration, duration matching, and liquidity constraints
• Risk model applications for factor exposure measurement across public and private markets