LSO-MAX™

Long-Short Optimization System

 

The top of the line long-short optimizer.

 

Features

LSO-MAX is an exceptionally fast long-short portfolio optimizer based on the active set method for quadratic programming. It allows long positions to migrate to short positions and vice versa, and it takes advantage of the structure of the long-short optimization problem to optimize large portfolios 1,000 times faster than a general purpose quadratic programming algorithm. It has special features that can be used to:

  • Set a gross leverage constraint.
  • Set transactions costs that vary individually for each asset based on transaction size.
  • Set transactions costs that jump when an asset starts moving into a short position.
  • Set linear equality and inequality constraints for portfolio attributes and asset-group weights.
  • Set a non-linear constraint on portfolio standard deviation.
  • Set quadratic penalty functions around targeted portfolio attribute values and 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 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 optimization software is available as a subroutine library. We support the following combinations of computer platforms and languages:

  • Dynamic link library (DLL) for Windows, for use with C/C++, Visual Basic, or Fortran.
  • Subroutine library for Linux, Sun Solaris and Windows.
  • C/C++ and Fortran source code is available for all computer platforms.

 

Internet and Intranet Systems

The C/C++ subroutine library is thread-safe. You can encapsulate it with a C/C++ wrapper to build Internet and Intranet systems for Linux, Sun Solaris, and Windows platforms.

 

System Support

We provide support by e-mail and telephone during business hours Pacific Time, U.S.A.

 

Consulting

We offer consulting services for building in-house systems that incorporate LSO-MAX.

Copyright (C) 1992-2008 Financiometrics Inc.