Third-Party Products & Services
ITG Portfolio Optimization System® (ITG PORT OPT) is a flexible portfolio construction platform. It helps portfolio managers develop new 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 PORT OPT produces an optimal portfolio, various portfolio statistics, and a trade list that can be sent to trading destinations.
ITG PORT OPT leverages the native Java interface in MATLAB®, enabling users to pass market data and set optimization strategy parameters with well-documented MATLAB functions.
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