IDEAS home Printed from https://ideas.repec.org/a/inm/orinte/v34y2004i1p39-50.html
   My bibliography  Save this article

Opti-Money at Bank Hapoalim: A Model-Based Investment Decision-Support System for Individual Customers

Author

Listed:
  • Mordecai Avriel

    (Department of Analytic Development, Bank Hapoalim B.M., 63 Yehuda Halevi Street, Tel Aviv 65781, Israel)

  • Hanna Pri-Zan

    (Securities and Financial Assets Division, Bank Hapoalim B.M., 62 Yehuda Halevi Street, Tel Aviv 65227, Israel)

  • Ronit Meiri

    (Department of Research and Advisory, Bank Hapoalim B.M., 62 Yehuda Halevi Street, Tel Aviv 65227, Israel)

  • Avi Peretz

    (Department of Analytic Development, Bank Hapoalim B.M., 63 Yehuda Halevi Street, Tel Aviv 65781, Israel)

Abstract

Opti-Money is a decision-support system for allocating assets that was developed at Bank Hapoalim, Israel's largest bank. Based on customer- and market-specific inputs, we solve a modified Markowitz-type nonlinear programming problem to produce optimal tailor-made investment portfolios in terms of asset classes. In its five years of operation, this mature system has provided excellent quantifiable results for the bank and its customers. In 2002, we held some 133,000 consultation sessions with 63,000 customers in which we used Opti-Money. Apart from the considerable prestige the system gained through its track record and uniqueness in the Israeli banking sector, it obtained net income 88 percent higher in customer accounts that used Opti-Money than in those that did not. The annual earnings over and above benchmarks to customers who follow the investment advice provided by the system total US$244 million. In 2002, the annual income for the bank directly attributed to Opti-Money exceeded US$31 million.

Suggested Citation

  • Mordecai Avriel & Hanna Pri-Zan & Ronit Meiri & Avi Peretz, 2004. "Opti-Money at Bank Hapoalim: A Model-Based Investment Decision-Support System for Individual Customers," Interfaces, INFORMS, vol. 34(1), pages 39-50, February.
    • Handle: RePEc:inm:orinte:v:34:y:2004:i:1:p:39-50
    DOI: 10.1287/inte.1030.0061
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1287/inte.1030.0061
    Download Restriction: no
    File URL: https://libkey.io/10.1287/inte.1030.0061?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Dimitris Bertsimas & Christopher Darnell & Robert Soucy, 1999. "Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company," Interfaces, INFORMS, vol. 29(1), pages 49-66, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wanpracha Art Chaovalitwongse, 2008. "Novel quadratic programming approach for time series clustering with biomedical application," Journal of Combinatorial Optimization, Springer, vol. 15(3), pages 225-241, April.
    2. Ken Kobayashi & Yuichi Takano & Kazuhide Nakata, 2021. "Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization," Journal of Global Optimization, Springer, vol. 81(2), pages 493-528, October.
    3. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
    4. Ceren Tuncer Şakar & Murat Köksalan, 2013. "A stochastic programming approach to multicriteria portfolio optimization," Journal of Global Optimization, Springer, vol. 57(2), pages 299-314, October.
    5. Yuichi Takano & Keisuke Nanjo & Noriyoshi Sukegawa & Shinji Mizuno, 2015. "Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs," Computational Management Science, Springer, vol. 12(2), pages 319-340, April.
    6. Zura Kakushadze, 2014. "Combining Alpha Streams with Costs," Papers 1405.4716, arXiv.org, revised Jan 2015.
    7. Ran Ji & Miguel A. Lejeune, 2018. "Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints," Annals of Operations Research, Springer, vol. 262(2), pages 547-578, March.
    8. Peter C. Bell & Chris K. Anderson, 2002. "In Search of Strategic Operations Research/Management Science," Interfaces, INFORMS, vol. 32(2), pages 28-40, April.
    9. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Papers 1501.05381, arXiv.org, revised Oct 2015.
    10. Lampariello, Lorenzo & Neumann, Christoph & Ricci, Jacopo M. & Sagratella, Simone & Stein, Oliver, 2021. "Equilibrium selection for multi-portfolio optimization," European Journal of Operational Research, Elsevier, vol. 295(1), pages 363-373.
    11. Miguel Lobo & Maryam Fazel & Stephen Boyd, 2007. "Portfolio optimization with linear and fixed transaction costs," Annals of Operations Research, Springer, vol. 152(1), pages 341-365, July.
    12. Lejeune, Miguel A. & Shen, Siqian, 2016. "Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization," European Journal of Operational Research, Elsevier, vol. 252(2), pages 522-539.
    13. Peter C. Bell & Chris K. Anderson & Stephen P. Kaiser, 2003. "Strategic Operations Research and the Edelman Prize Finalist Applications 1989--1998," Operations Research, INFORMS, vol. 51(1), pages 17-31, February.
    14. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Risks, MDPI, vol. 3(4), pages 1-17, November.
    15. Zura Kakushadze, 2014. "Notes on Alpha Stream Optimization," Papers 1406.1249, arXiv.org, revised Mar 2015.
    16. Ellis L. Johnson & George L. Nemhauser & Martin W.P. Savelsbergh, 2000. "Progress in Linear Programming-Based Algorithms for Integer Programming: An Exposition," INFORMS Journal on Computing, INFORMS, vol. 12(1), pages 2-23, February.
    17. Nicholas Moehle & Mykel J. Kochenderfer & Stephen Boyd & Andrew Ang, 2021. "Tax-Aware Portfolio Construction via Convex Optimization," Journal of Optimization Theory and Applications, Springer, vol. 189(2), pages 364-383, May.
    18. Carina Moreira Costa & Dennis Kreber & Martin Schmidt, 2022. "An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems," INFORMS Journal on Computing, INFORMS, vol. 34(6), pages 2968-2988, November.
    19. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.
    20. Angelelli, Enrico & Mansini, Renata & Speranza, M. Grazia, 2008. "A comparison of MAD and CVaR models with real features," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1188-1197, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:orinte:v:34:y:2004:i:1:p:39-50. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.