Methods and systems for analytical-based multifactor Multiobjective portfolio risk optimization
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United States of America Patent
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Dec 29, 2009
Grant Date -
Oct 7, 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 the allocation of securities in a portfolio. The method includes providing a collection of securities in a portfolio, each security being associated with associated attributes; providing risk factor data related to the portfolio; pooling the securities into a plurality of security clusters based on the attributes associated with each security and the risk factor data, each security being assigned to an security cluster, the pooling being performed using multivariate decision tree processing; processing the security clusters using a nonlinear programming optimizer to generate optimization results; and presenting the optimization results in a risk-return space for determination of a security allocation.
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