Load aware optimization
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United States of America Patent
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Jul 24, 2007
Issued Date -
N/A
app pub date -
Feb 23, 2001
filing date -
Feb 23, 2000
priority date (Note) -
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Abstract
A process utilizing a modification to the inputs to a standard portfolio optimization is provided for facilitating load aware optimizations. First, each loaded financial product, such as a mutual fund having a front end or back end load, of a set of available financial products is modeled as a loaded portion and an unloaded portion by determining an adjusted return. The adjusted return is based on a period the load bearing financial product is projected to be held in a portfolio and the amount of the load. A variable relating the fraction of a loaded financial product in the portfolio may be decomposed into two variables (one representing the loaded portion and another representing the unloaded portion) to regain the quadratic programming problem. The optimization may then be performed using quadratic programming techniques, and the fraction of each loaded financial product in the portfolio is calculated by combining the two variables.
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