Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization
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United States of America Patent
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Sep 22, 2009
Grant Date -
Sep 23, 2004
app pub date -
Mar 19, 2003
filing date -
Mar 19, 2003
priority date (Note) -
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Abstract
The invention provides systems and methods for determining an efficient frontier, which comprises a collection of security allocations in a portfolio, with multiple, conflicting objectives in a multi-factor portfolio problem. The method includes providing a mathematical model of a relaxation of a problem; generating a sequence of additional constraints; and sequentially applying respective nonlinear risk functions to generate respective adjusted maximum return solutions to obtain an efficient frontier.
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