Power-Log Optimizer

PLO-MAX™

The Power-Log Portfolio Optimizer is a non-linear optimizer that is designed to use Power-Log utility functions for constructing portfolios of assets with normal and non-normal return distributions, such as stocks, bonds, options, ETF’s and hedge funds.

 

Features

PLO-MAX™ is an exceptionally fast non-linear optimizer that uses an accelerated conjugate direction method for constructing portfolios. It is specifically designed to take advantage of the two-segment Power-Log utility function described in, “Growth Optimization with Downside Protection, A New Paradigm for Portfolio Selection,” by Jivendra Kale, which was published in the Journal of Behavioral Finance.

 

Special features include…

Specify the Log utility function to model preferences of an investor who wants to maximize portfolio growth.

Specify a two-segment Power-Log utility function, where gains are modeled with the Log utility function that maximizes portfolio growth, and losses are modeled with a Power utility function with a downside power that corresponds to the investor’s aversion to losses.

Set transactions costs that vary individually for each asset.

Set linear equality and inequality constraints for portfolio attributes and asset-group weights.

Set upper and lower bounds on asset weights individually for each asset.

Include risk-free assets.

Specify the joint distribution of asset returns to account for mean, variance, skewness, kurtosis and all cross-moments in asset returns.

 

Platforms

Customizable application for Windows.
Customizable application for Linux.
Customizable application for the Mac.

C/C++ object code library for Windows.
C/C++ object code library for Linux.
C/C++ object code library for the Mac.
C/C++ source code library for all platforms.

Fortran object code library for Windows.
Fortran object code library for Linux.
Fortran source code library for all platforms including supercomputers.

The libraries can be used with systems developed with Java, C/C++, R, Visual Basic and Fortran.

 

No limits in the subroutine libraries, and they are thread safe.

 

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

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

 

Updated 3/23/13