Barra Optimizer
An open software library that enables integration of the Barra optimization engine in investment platforms
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Barra Optimizer delivers innovative optimization techniques in an open, flexible software library that can be easily integrated into most investment platforms. It can be used to address a variety of optimization problems ranging from large-scale convex and non-convex cases to more complex combinations of quadratic, nonlinear or mixed-integer constraints. |
Barra Optimizer is a software library that provides you with open access to a range of Barra proprietary solvers. This enables you to:
- Connect the Barra optimization engine to your own investment platform. Through its different APIs, Barra Optimizer can be easily integrated into your own research/back-testing environment, or production-related processes. Interfaces are available in C++, Java, COM, SAS, MATLAB and R.
- Address advanced portfolio optimization cases. Barra Optimizer contains a range of proprietary solvers developed to help users address advanced mean-variance portfolio optimization, and implementation-related problems. Examples include:
- Large-scale, convex problems with user-defined linear constraints
- Non-convex cases involving combinations of linear, quadratic and mixed integer constraints
- Long/short portfolio construction problems, with leverage bounds, risk targets or different side-specific constraints
- Access innovative research and support resources. With an experienced team of operational research specialists in contact with leading investment professionals, MSCI continues to enhance its optimization solvers. Users of Barra Optimizer can access a range of support documents on many practical portfolio optimization topics.