
LSO-MAX
Long-Short
Optimizer
The
top of the line long-short and market neutral
portfolio optimizer.
Features
LSO-MAX is an exceptionally
fast portfolio optimization system, that has been designed specifically for optimizing long-short and market neutral portfolios with several thousand assets.
Special features:
- Set a gross leverage constraint.
- Allow long positions to migrate to short positions and vice versa, as the underlying asset risk and return parameters change.
- Set transactions costs separately for each asset, where the transactions costs vary with transaction size and follow any kind of function, such as a quadratic function, a square root function, or an empirical function.
- Set linear equality
and inequality constraints for portfolio attributes, factor exposures, industry exposures and any combination of asset-group
weights.
- Set a non-linear
constraint on portfolio standard deviation, or active portfolio standard deviation.
- Set soft constraints with quadratic
penalty functions around targeted portfolio attribute values, factor exposures, industry exposures and any combination of asset-group
weights.
- Set a turnover
constraint.
- Set an upper
bound on the number of assets in the portfolio.
- Set upper and
lower bounds on asset weights individually for each asset.
- Set soft constraints with quadratic
penalty functions around targeted asset weights individually for each
asset.
- Include risk-free
assets.
- Interface with
an in-house factor model, or a factor model supplied by a vendor.
- Maximize expected active return for a given standard deviation of active return, where active return is measured relative to a benchmark or normal portfolio.
- Minimize standard deviation of active return for a given expected active return, where active return is measured relative to a benchmark or normal portfolio.
- Maximize the mean-variance utility function for active return.
- Maximize expected total return for a given standard deviation of total return.
- Minimize standard deviation of total return for a given expected total return.
- Maximize the mean-variance utility function for total return.
- Maximize the Sharpe ratio for a given threshold return.
- Maximize the threshold return for a given Sharpe ratio.
Limits
None
Operating
Environments
The LSO-MAX subroutine library is available in the following combinations of computer platforms
and languages:
- Dynamic link
library (DLL), or static library for Windows on the PC, for use with C/C++,
Visual Basic, or Fortran programs.
- Linux on the PC for use with C/C++ programs.
- C/C++ and Fortran
source code is available for all computer platforms.
The LSO-MAX stand-alone system reads input data from text files, and writes out the optimal portfolio and its summary statistics to text files. It is available on the following computer platforms:
- Windows on the PC .
- Linux on the PC.
Internet
and Intranet Systems
The C/C++ subroutine
library is thread-safe, and can be used
to build Internet and Intranet systems.
System Support
We provide support by e-mail and telephone during business hours Pacific Time, U.S.A.
Copyright (C) 1992-2010 Financiometrics Inc.
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