Articles & Papers
The following articles and white papers demonstrate and describe our portfolio optimization systems, and the foundations of our mathematical programming algorithms.
Large-Scale Portfolio Optimization
Quadratic Programming for Large-Scale Portfolio Optimization, by Michael J. Best and Jivendra K. Kale, Financial Services Information Systems, Best Practices Series, pages 513-529, Jessica Keys, Editor, Auerbach, 2000.
Quadratic programming with transaction costs, by Michael J. Best and Jaroslava Hlouskova, Computers and Operations Research (Special Issue: Applications of OR in Finance), Vol. 35/1, pages 18-33, 2008.
An algorithm for portfolio optimization with variable transaction costs, Part 1: Theory, by Michael J. Best and Jaroslava Hlouskova, Journal of Optimization Theory and Applications, Vol. 135/3, pages 563-581, 2007.
An algorithm for portfolio optimization with variable transaction costs, Part 2: Computational analysis, by Michael J. Best and Jaroslava Hlouskova, Journal of Optimization Theory and Applications, Vol. 135/3, pages 531-547, 2007.
Portfolio Optimization Using the Quadratic Optimization System and Publicly Available Information on the WWW, by Jivendra Kale, Managerial Finance, Vol. 35/5, pages 439-450, 2009.
Power-Log
Optimization
An algorithm for portfolio optimization with transaction costs, by Michael J. Best and Jaroslava Hlouskova, Management Science, Vol. 51/11, pages 1676-1688, 2005.
A Class of Accelerated Conjugate Direction Methods for Linearly Constrained Minimization Problems, by Michael J. Best and Klaus Ritter, Mathematics of Computation, Vol. 30/135, pages 478-504, 1976.
Growth Maximization and Downside Protection using Power-Log Utility Functions for Optimizing Portfolios with Derivatives, by Jivendra Kale, International Journal of Computer Applications in Technology, Vol. 34/4, pages 309-314, 2009.
Growth Optimal Asset Allocation Strategies with Downside Protection, by Jivendra K. Kale, Financial Services Information Systems, Best Practices Series, pages 497-511, Jessica Keys, Editor, Auerbach, 2000.
Factor Models
Assessing Industry Risk, by Jivendra K. Kale and Nils H. Hakansson, Journal of Investing, Winter 1991.