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Discrete Quadratic Programming Optimisation Engine for Portfolio

By Analytics System (pas

Abstract

Project Scope: UBS deals with wealth management, investment banking, asset management and retail & commercial banking. We provide continued research and development support for the optimisation engine, which is at the heart of UBS Portfolio Analytics System, PAS. The robustness as well as computational speed of FortMP [Quadratic-Mixed Integer Programming (QMIP)] solver engine has been exploited here so as to attain the optimum solution within a short stipulated elapsed processing time. Project Achievement: PAS system creates Enhanced index funds which are equity funds with less than 2.5 % ex ante tracking error to their benchmarks; these are designed using quantitative strategies to increase their expected returns. Recently, OptiRisk Systems supplied new Cutting edge QMIP optimiser. This has considerably accelerated the PAS optimisation engine. For the first time, a constraint may now be placed upon the maximum number of trades as an alternative to the maximum number of stocks in the portfolio. The integer-programming algorithm used to impose holding thresholds and the maximum number of stocks has been substantially enhanced. Many aspects of the new integer programming heuristics are under control so that the algorithm can be fine-tuned for difficult problems. When the optimiser is running, information from both the PAS system optimise

Year: 2013
OAI identifier: oai:CiteSeerX.psu:10.1.1.373.1504
Provided by: CiteSeerX
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