> ## Documentation Index
> Fetch the complete documentation index at: https://docs.fincept.in/llms.txt
> Use this file to discover all available pages before exploring further.

# Portfolio optimisation

> Mean-risk optimisation over 26 risk measures and four objectives on historical, Black-Litterman, factor-model and entropy-pooling inputs, with bounds, budgets, cardinality, risk limits, linear, integer, turnover, tracking-error and network constraints; efficient frontiers; worst-case robust, OWA and mean-variance-skewness-kurtosis portfolios; and the constraint and view matrix builders.

Toolset `alloc_optimize`: 6 tools.

| Tool | What it does | Notes |
| - | - | - |
| `alloc_optimize` | Optimal portfolio weights for one of 26 risk measures (variance, MAD, CVaR, EVaR, tail Gini, drawdowns, ...) and an objective (minimum risk, maximum utility, maximum return/risk ratio, maximum return), on historical estimates or a Black-Litterman, factor-model, Black-Litterman-on-factors or entropy-pooling model, under any mix of constraints. | |
| `alloc_efficient_frontier` | The efficient frontier of a risk measure under the same models and constraints as alloc\_optimize: points portfolios from minimum risk to maximum return. | |
| `alloc_owa` | Portfolio optimising an ordered-weighted-average risk measure (a weighted sum of the sorted portfolio returns) such as the Gini mean difference, weighted CVaR, tail Gini, ranges or L-moments. | |
| `alloc_worst_case` | Worst-case (robust) mean-variance portfolio: optimises the objective against the least favourable mean and covariance inside box or elliptical uncertainty sets estimated by bootstrap, normal simulation or a delta band. | |
| `alloc_mvsk` | Portfolio optimising the first four moments together (mean, variance, skewness, kurtosis) through a semidefinite relaxation of coskewness and cokurtosis, at most 20 assets. | |
| `alloc_build_constraints` | Builds the matrices an optimizer receives from rule rows and shows them: weight rules as A w \<= B, risk contribution rules, factor-exposure rules, integer (cardinality, exclusive, joint) rules, hierarchical-portfolio bounds, risk budget vectors, Black-Litterman P/Q and entropy-pooling P/Q. | |

Inputs, limits and outputs are described in [Fincept Allocation](/guides/fincept-allocation). Full schemas: `fincept_describe_tool`.


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