Systems and methods for multi-objective portfolio optimization
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United States of America Patent
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Jun 2, 2009
Grant Date -
Aug 25, 2005
app pub date -
Feb 20, 2004
filing date -
Feb 20, 2004
priority date (Note) -
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Abstract
The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising: generating an initial population of solutions of portfolio allocations; performing a first multi-objective process, based on the initial population and the competing objectives, to generate a first interim efficient frontier; performing a second multi-objective process, based on the initial population and the competing objectives, to generate a second interim efficient frontier; and fusing the first interim efficient frontier with the second interim efficient frontier to create an augmented efficient frontier for use in investment decisioning.
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