LSO-MAX™

Long-Short Optimizer

 

Top of the line portfolio optimizer for long-only,

long-short and market-neutral portfolios.

 

Features

LSO-MAX is an exceptionally fast long-short portfolio optimizer that uses a gradient search technique like the interior point method. We have enhanced this approach by using active set and penalty function methodology to gain substantial increases in speed for large, real world portfolio optimization problems with thousands of stocks and variable transactions costs.

LSO-MAX can optimize long-only portfolios, long-short portfolios such as 130/30, 140/40, and market neutral portfolios. It allows long positions to migrate to short positions and vice versa.

Special features:

  • 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 portfolio optimization system is available in the following combinations of computer platforms and languages:

  • Customizable application for Windows.
  • Customizable application for Linux.
  • C/C++ object code library for Windows.
  • C/C++ object code library for Linux.
  • C/C++ source code library for Windows.
  • C/C++ source code library for Linux.
  • Fortran source code library for supercomputers.

 

Internet and Intranet Systems

The subroutine libraries are thread-safe.

 

System Support

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

 

Consulting

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

Tel: (925)254-9338

Copyright (C) 1992-2011 Financiometrics Inc.