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Financiometrics Inc., located in the San Francisco Bay Area, is a group of academics and software engineers specializing in investment portfolio optimization software. We have wide ranging expertise in the areas of optimization algorithms, equity risk-model estimation, simulation, database design and systems development. For the last 20 years we have been leaders in the development of long-short portfolio optimizers, long-only portfolio optimizers and asset allocation systems. We specialize in quadratic and nonlinear portfolio optimization systems, based on innovative mathematical programming algorithms designed specifically for solving large-scale portfolio optimization problems. Our systems are used by institutional investors such as Black Rock-Merrill Lynch and Toronto Dominion Bank, and also by consulting firms such as Cyrnel International. NEWS and EVENTS: 1. Publication: "Growth Maximization and Downside Protection using Power-Log Utility Functions for Optimizing Portfolios with Derivatives," International Journal of Computer Applications in Technology, Volume 34, Number 4, 2009, pages 309-314 , by Jivendra Kale. To request a pdf version of the paper, please send us an e-mail by using the Contact us tab. 2. Publication: "Guarantee Costs and Portfolio Selection in Guaranteed, Privatized Social Security Accounts, With and Without Inflation Indexing," Journal of Applied Business and Economics, Volume 10, Number 1, 2009, pages 53-64, by Jivendra Kale and Philip Perry.To request a pdf version of the paper, please send us an e-mail by using the Contact us tab. 3. Publication: " Portfolio Optimization Using the Quadratic Optimization System and Publicly Available Information on the WWW," Managerial Finance, Volume 35, Number 5, 2009, pages 439-450, by Jivendra Kale. To request a pdf version of the paper, please send us an e-mail by using the Contact us tab. 4. Financiometrics Inc. has received a U.S. patent for an "Investment Portfolio Construction Method and System" based on Power-Log utility functions. 5. Financiometrics Inc. has released the Long-Short Optimization System for Windows and Linux. See the products section for details. 6. Publication: "Growth Optimization with Downside Protection: A New Paradigm for Portfolio Selection," The Journal of Behavioral Finance, Vol. 7, No. 1, 2006, pages 29-42, by Jivendra Kale. It introduces the Power-Log utility function, and shows that portfolios constructed by using the Power-Log utility function have superior risk and return characteristics than those constructed by using mean-variance analysis, or power utility functions. To request a pdf version of the paper, please send us an e-mail by using the Contact us tab. 7. Jivendra Kale and his co-author Philip Perry presented a research paper titled, "Portfolio Selection in a Guaranteed Privatized Social Security Account," at the most recent Annual Meeting of the Decision Sciences Institute and won the Distinguished Paper Research Award for the Finance Track at the meeting. Copyright (C) 1992-2010 Financiometrics Inc. |
