LSO-MAX

LSO-MAX is a large-scale quadratic optimizer developed by Financiometrics Inc. It is designed to construct portfolios with thousands of assets and is primarily targeted at institutional investors, consulting firms, and professionals in the asset management, financial advisory, and investment banking industries. According to the vendor, LSO-MAX allows users to manage risk, perform asset allocation based on Markowitz mean-variance analysis, and optimize portfolios for various objectives such as maximizing expected return or minimizing risk.

Key Features

Large-Scale Optimizer™: According to the vendor, this exceptionally fast quadratic optimizer enables users to construct long-only, long-short, and market-neutral portfolios with thousands of assets. It also provides risk management capabilities relative to a normal or benchmark portfolio, and supports asset allocation using Markowitz mean-variance analysis.

LSO-20™: The vendor states that LSO-20™ is a stand-alone version of the Large-Scale Optimizer™ specifically designed for asset allocation applications using Markowitz mean-variance analysis. It offers adequate functionality at a reasonable price.

LSO-MAX™: According to the vendor, LSO-MAX™ is the unlimited version of the Large-Scale Optimizer™, available as a licensed app or subroutine library. It is suitable for embedding in custom programs and provides comprehensive portfolio optimization capabilities.

Gross Leverage Constraint: The vendor claims that users can set a gross leverage constraint to manage the overall leverage of the portfolio.

Flexible Transaction Cost Management: According to the vendor, LSO-MAX™ allows users to set transaction costs that vary individually for each asset based on transaction size. It also offers the option to set transaction costs that jump when an asset starts moving into a short position.

Linear Equality and Inequality Constraints: The vendor states that users can set linear equality and inequality constraints for portfolio attributes and asset-group weights, providing greater customization and control over portfolio composition.

Non-Linear Constraint on Portfolio Standard Deviation: According to the vendor, LSO-MAX™ enables users to set a non-linear constraint on portfolio standard deviation, allowing for more sophisticated risk management strategies.

Quadratic Penalty Functions: Users, according to the vendor, can set quadratic penalty functions around targeted portfolio attribute values and asset-group weights, providing flexibility in optimizing portfolios based on specific objectives.

Turnover Constraint: The vendor claims that LSO-MAX™ allows users to set a turnover constraint to ensure that portfolio turnover is kept within desired limits.

Customizable Asset Weight Bounds: According to the vendor, users have the ability to set upper and lower bounds on asset weights individually for each asset, offering granular control over asset allocation.