portfolioscience

here's a company that sells software for portfolio optimization and risk analysis. maybe i should fill out their form and check out the demo some time, just to see how they do it and which metrics seem to be featured. in particular i'm curious about the riskapi efficient frontier optimizer.

aorda is another one, started circa 2006 by a ufl prof who was one of the early proponents of cvar. free download for crippleware, but have to register first. pay versions are very highly priced: commercial license is $10k/year.