Portfolio optimization by means of resampled efficient frontiers
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United States of America Patent
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Dec 14, 1999
Grant Date -
N/A
app pub date -
Sep 9, 1998
filing date -
Mar 27, 1998
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Abstract
A method for evaluating an existing or putative portfolio having a plurality of assets. A mean-variance efficient portfolio is computed for a plurality of simulations of input data statistically consistent with an expected return and expected standard deviation of return, and each such portfolio is associated, by means of an index, with a specified portfolio on the mean variance efficient frontier. A statistical mean of the index-associated mean-variance efficient portfolios is used for evaluating a portfolio for consistency with a specified risk objective.
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