Portfolio generation using resampled efficient frontiers and interval-associated groups
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United States of America Patent
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Issued Date -
Oct 16, 2003
app pub date -
Apr 12, 2002
filing date -
Apr 12, 2002
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
Historical data on the returns of a set of risky assets are resampled in each of a plurality of simulations to create sets of resampled risky asset return data. Simulated efficient investment portfolios of assets are assembled on a sheaf of efficient frontiers, one for each simulation. A set of intervals of a statistical input parameter (such as standard deviation) is defined. Each simulated efficient investment portfolios is assigned to an interval. A summary statistical procedure operates on all of the simulated investment portfolios associated with each interval, thereby deriving a resampled efficient investment portfolio. The resampled efficient investment portfolios reside on a resampled efficient frontier and are presented to an investor as a guide to making investments or are used as an input for other automated procedures.
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