Audience
Financial risk management platform for financial institutions
About LSO-MAX
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.This is an unlimited version of the Large-Scale Optimizer™ that can be licensed as an app, or as a subroutine library that you can embed in your program. The Large-Scale Optimizer™ uses an active set method, which we have enhanced by using penalty function methodology, to gain dramatic increases in speed to reach a true global optimal solution for very large, real world portfolio optimization problems with variable transactions costs.
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Integrations
No integrations listed.
Company Information
Financiometrics
www.financiometrics.com
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Product Details
Platforms Supported
Windows
Support
Phone Support
Online
LSO-MAX Product Features
Financial Risk Management
For Hedge Funds
Portfolio Management
Compliance Management
Credit Risk Management
Liquidity Analysis
Loan Portfolio Management
Market Risk Management
Operational Risk Management
Portfolio Modeling
Risk Analytics Benchmarks
Stress Tests
Value At Risk Calculation