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.