Portfolio optimization by means of meta-resampled efficient frontiers
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United States of America Patent
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Nov 24, 2009
Grant Date -
Nov 20, 2008
app pub date -
Jul 25, 2008
filing date -
Oct 25, 2002
priority date (Note) -
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Abstract
A computer-implemented method and computer program product for selecting a portfolio weight (subject to specified constraints) for each of a plurality of assets of an optimal portfolio. A mean-variance efficient frontier is calculated based on expected return and standard deviation of return of each of the plurality of assets. Multiple sets of optimization inputs are drawn from a distribution of simulated optimization inputs consistent with the expected return and standard deviation of return of each of the assets and a specified level of forecast certainty, and then a simulated mean-variance efficient frontier is computed for each set of optimization inputs. A meta-resampled efficient frontier is determined as a statistical mean of associated portfolios, and a portfolio weight is selected for each asset according to a specified investment objective.
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