Ortec Finance releases SAA optimization tool built on scenario-based machine learning

GLASS PRISM applies machine learning within a multi-scenario framework to help institutional investors design long-term asset allocations that account for non-linear relationships and complex constraints

Ortec Finance, a provider of risk and return management solutions for institutional investors, has launched GLASS PRISM, a Strategic Asset Allocation optimization tool built on its Scenario-Based Machine Learning methodology. The tool is designed for insurers, pension funds and asset managers that need to design long-term investment strategies under complex objectives and regulatory constraints.

Traditional SAA approaches typically rely on mean-variance models that assume linear relationships between assets and apply static return assumptions. These models struggle to handle non-linear objectives, multi-period constraints or balance sheet metrics that vary across economic scenarios. GLASS PRISM addresses this by embedding machine learning within a forward-looking scenario framework, allowing the tool to evaluate a wide range of possible outcomes rather than optimizing against a single set of assumptions.

In practice, the tool allows institutions to define their own objectives and constraints directly, including balance sheet targets for insurers, and produces a set of asset allocations that best satisfies those requirements. Non-linear and multi-period constraints are handled within the model itself, without the need for proxy variables or manual approximations. According to the company, results are delivered faster than brute-force optimization methods while maintaining comparable accuracy.

"Strategic asset allocation is the most important investment decision institutions make, yet many tools still lack a targeted approach to optimizing SAAs," said Linda Hooft, Managing Director for Insurance Strategy at Ortec Finance. "By combining the accuracy of brute-force methods with the efficiency of advanced optimization techniques, our clients can optimize asset portfolios based on any objective or constraint required."

Ortec Finance develops software and advisory solutions focused on scenario analysis and portfolio construction for long-term institutional investors. GLASS PRISM is positioned as a dedicated module within that offering, targeting the specific workflow of SAA design rather than broader portfolio management functions.