Financiometrics Inc.

TEL: (925) 254-9338
FAX: (925) 254-2932

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 Merrill Lynch and Toronto Dominion Bank, and also by consulting firms such as Cyrnel International.

NEWS:

1. Jivendra Kale, our President, has been awarded the Transamerica Professorship for Business Policy and Strategy by the School of Economics and Business Administration at Saint Mary's College of California.

2. Financiometrics Inc. has received a U.S. patent for an "Investment Portfolio Construction Method and System" based on Power-Log utility functions.

3. Financiometrics Inc. has released the Long-Short Optimization System for Windows and Linux. See the products section for details.

4. Jivendra Kale, our President, has recently published a research paper in the Journal of Behavioral Finance. 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. The article is, "Growth Optimization with Downside Protection: A New Paradigm for Portfolio Selection," The Journal of Behavioral Finance, Vol. 7, No. 1, 2006, pp 29-42. To request a pdf version of the paper, please send us an e-mail by using the Contact us tab.

5. 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.