Power-Log Optimizer®

The Power-Log 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 innovative asset allocation system that uses utility functions based on concepts of behavioral finance, and can be used with combinations of assets that have approximately normal returns, such as stock funds, and assets with non-normal returns, such as bonds, hedge funds and options. In addition, it is a powerful tool for optimal call writing against long portfolios, since it accounts for the extreme skewness in option returns very effectively. Power-Log Optimization models investor preferences with versatile Power-Log utility functions, that can maximize portfolio growth and limit downside risk. For a description of the underlying methodology see, “Growth Optimization with Downside Protection: A New Paradigm for Portfolio Selection,” by Jivendra Kale, in the Journal of Behavioral Finance, and “Growth Optimal Asset Allocation Strategies,” by Michael Best and Jivendra Kale, in Financial Services Information Systems, edited by Jessica Keyes. For a backtest of the methodology see, “Power-Log Optimization and Positively Skewed Option Returns Reduce Risk and Raise Portfolio Performance,” by Jivendra Kale and Arnav Sheth, in the Journal of Investing. For a description of the underlying methodology see, “Quadratic Programming for Large-Scale Portfolio Optimization,” by Michael Best and Jivendra Kale, in Financial Services Information Systems, edited by Jessica Keyes.