Third-Party Products & Services

ITG Opt

Advanced portfolio optimization

Highlights

  • Fast mixed-integer programming solver that handles complex problems with thousands of securities
  • Nonlinear transaction cost modeling, including turnkey support for ITG’s Cost Curves
  • Robust optimization to account for uncertain alpha forecasts
  • Tax management by encouraging, discouraging, and/or constraining gains and losses
  • Soft constraints to penalize bound breakage
  • Flexible long/short portfolio construction, including borrowing cost control and optimal leverage

Description

A flexible portfolio construction platform, ITG Opt® helps portfolio managers develop new portfolio strategies and solve complex real-world optimization problems that consider nonlinear transaction costs, taxes, leverage, and return forecast uncertainty, in addition to traditional portfolio optimization goals such as risk and return. Given initial holdings, ITG Opt produces an optimal portfolio, various portfolio statistics, and a round-lotted tradelist that can be sent to various trading destinations.

ITG Opt leverages the native Java interface in MATLAB®, enabling users to pass market data and set optimization strategy parameters with well-documented MATLAB functions.

ITG

380 Madison Avenue
New York, NY 10017
UNITED STATES
Tel: 800-858-4907
info@itg.com

Required Products

Platforms

  • Linux
  • Windows

Support

  • E-mail
  • Fax
  • On-site assistance
  • Telephone
  • Training

Product Type

  • Modeling and Simulation Tools

Tasks

  • Data Analysis and Statistics

Industries

  • Financial Services