Third-Party Products & Services
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.
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