LSO-MAX
LSO-MAX is a specialized app designed for efficient asset allocation using Markowitz mean-variance analysis. It features a 20-asset capacity, leveraging advanced penalty... LSO-MAX is a specialized app designed for efficient asset allocation using Markowitz mean-variance analysis. It features a 20-asset capacity, leveraging advanced penalty function methodology for rapid optimization. Users can implement various constraints, manage transaction costs, and customize performance metrics, all while benefiting from robust support and integration capabilities across platforms.
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Company Information
- Company: FINANCIOMETRICS INC.
- Country: United States
Top LSO-MAX Features
- Global optimal solution capability
- Variable transaction costs handling
- Long-short position flexibility
- Gross leverage constraint setting
- Individual asset weight limits
- Non-linear portfolio standard deviation constraints
- Quadratic penalty functions implementation
- Turnover constraint configuration
- Risk-free asset inclusion
- Customizable for multiple platforms
- C/C++ and Fortran libraries
- Integration with in-house factor models
- Maximizes expected active return
- Minimizes active return standard deviation
- Sharpe ratio maximization feature
- Threshold return maximization capability
- Consulting services for in-house systems
- Thread-safe subroutine libraries
- Support via email and phone.
