Financiometrics Inc.

TEL: (925) 254-9338

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-models, simulation, database design and systems development.

Since 1992 we have specialized in the development of quadratic and nonlinear portfolio optimization systems, based on innovative mathematical programming algorithms designed specifically for solving large-scale portfolio optimization problems with thousands of assets.

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. June 2011: Financiometrics Inc. has redesigned and substantially speeded up its LSO-MAX portfolio optimizer. The new release is fifteen times faster than the previous version for complex long-short optimization problems with over 1,500 assets, twenty steps in the transactions cost function, a gross leverage constraint, a turnover constraint, penalty functions and other constraints. Find out more about Financiometrics Inc.'s new release of LSO-MAX by contacting our President, Jiv Kale, at jkale@financiometrics.com, or by sending us an e-mail by using the Contact us tab.

2. 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.

3. 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.

4. 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.

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

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.

Tel: (925)254-9338