Method and system for portfolio optimization from ordering...

Details Method and system for portfolio optimization from ordering... Method and system for portfolio optimization from ordering...

2005-02-24

2009-12-08

Gilligan, C. Luke (Department: 3626)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

Reexamination Certificate

active

07630930

ABSTRACT:
A method of optimizing a portfolio includes selecting an investment universe with a finite number of assets, forming a belief matrix based on one or more homogeneous inequality relationships among the expected returns of assets in the universe, selecting those asset returns that are consistent with the belief matrix to form a consistent set of return vectors, selecting a set of allowable weight vectors for the assets in the universe, determining a centroid vector of the consistent set of return vectors with respect to a probability measure, and finding an optimal portfolio by finding a weight vector on a boundary of the set of allowable weight vectors that maximizes an inner product with the centroid vector.

REFERENCES:
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patent: 2003/0055765 (2003-03-01), Bernhardt
patent: 2004/0083151 (2004-04-01), Craig et al.
patent: 2004/0167843 (2004-08-01), French
patent: 2005/0033678 (2005-02-01), Huneault
PCT International Search Report.
Response to Written Opinion as filed in PCT/US2006/006627.
Written Opinion of the International Searching Authority.

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