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In this Research Insight, we show how the Barra Optimizer uniquely handles round lot optimization. With our technique, a successfully returned "optimal" portfolio will be feasible under all the user-imposed constraints. By comparison, post-optimization roundlotting is simple and straightforward, yet the resulting portfolio may violate one or more constraints. This paper explains how the Barra Optimizer offers both optimal roundlotting and post-optimization roundlotting to help manage cost-effective portfolio construction.
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