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Primary Article

The Right Tool for the Job

Using Multiperiod Optimization in Transitions

Cary Blake, Dean Petrich and Alex Ulitsky
Trading Summer 2003, 2003 (1) 33-37
Cary Blake
Manager of Transition Services in Barclays Global Investors' Canada office. cary.blake@barclaysglobal.com
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Dean Petrich
A research officer in Barclays Global Investors' Advanced Strategies & Research Group. dean.petrich@barclaysglobal.com
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Alex Ulitsky
A quantitative analyst in Barclays Global Investors' Advanced Strategies & Research Group. alex.ulitsky@barclaysglobal.com
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Abstract

The current tools and approaches to transition management are biased towards either minimizing transaction costs or minimizing risk, but do not appropriately integrate both. This can lead to sub-par results, exposure to unintended risks and costs, and lingering doubts about whether the right decisions were made. This article shows that risk and cost do not have to be a trade-off. The multiperiod optimization (MPO) solution, which simultaneously addresses cumulative transition-period transaction costs and cumulative transition-period portfolio risks, produces a superior transition trade strategy and ensures that both the investor and the transition manager clearly understand the actual risks and costs during the transition period.

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In this issue

Trading: 2003 (1)
Transition Management: A Guide to Portfolio Trading and Optimizing Transaction Costs
Vol. 2003, Issue 1
Summer 2003
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The Right Tool for the Job
Cary Blake, Dean Petrich, Alex Ulitsky
Trading Jun 2003, 2003 (1) 33-37;

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The Right Tool for the Job
Cary Blake, Dean Petrich, Alex Ulitsky
Trading Jun 2003, 2003 (1) 33-37;
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