Asset allocation optimization process
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United States of America Patent
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Issued Date -
Jul 29, 2004
app pub date -
Jan 29, 2003
filing date -
Jan 29, 2003
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Abandoned
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Abstract
A method for optimizing an allocation of a plurality of selected assets in which a set of discrete possible outcomes for returns on each of the plurality of assets are generated, and at least one favorable trade idea is provided. A subset of the discrete outcomes are identified as winning outcomes consistent with the at least one favorable trade idea and a remaining subset of discrete outcomes are identified as losing outcomes. After further constraints are specified, an allocation of the plurality of assets is determined that optimizes an attribute of at least one of the winning and losing outcomes subject to the further constraints.
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