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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Company Information

Financiometrics
www.financiometrics.com

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Product Details

Platforms Supported
Windows
Support
Phone Support
Online

LSO-MAX Frequently Asked Questions

Q: What kinds of users and organization types does LSO-MAX work with?
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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