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Portfolio Optimization

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Executive Summary

Since its founding in 1987, the company's proactive approach to tax-efficient investing has performed consistently and allowed many of the country's wealthiest families and taxable institutions to increase after-tax performance while controlling risk. Portfolio optimization involves a tradeoff between risk, return and taxes for each investor. The company tackles this problem mathematically, solving it with IBM ILOG CPLEX. The leading mathematical programming optimization engine, CPLEX allows the company to model the risks and taxes, and to develop algorithms that automate the management of large numbers of customized accounts.

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