High Performance Portfolio Optimizers
Optimizer Platforms: PC, Linux and Mac. Application programs and subroutine libraries.
Large-Scale mean-variance optimizer for very large portfolios.
The Large-Scale Optimizer™ has been developed jointly by Michael Best, Professor Emeritus, Department of Combinatorics and Optimization, University of Waterloo, and Jivendra Kale, President, Financiometrics Inc. It is an exceptionally fast quadratic optimizer for constructing long-only, long-short, and market-neutral portfolios with thousands of assets, and managing their risk relative to a normal, or benchmark portfolio. You can also use it for asset allocation, based on Markowitz mean-variance analysis.
FREE. . .Power-Log Optimizer®
Click here to get a functional, free version of the Power-Log Optimizer®.
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.
"From a Dedicated User "
I am delighted with the Large-Scale Optimizer’s speed! It makes it really easy to do long backtests of multiple long-short strategies with over 2,000 names.