Portfolio optimization

Details Portfolio optimization Portfolio optimization

2005-02-20

2010-10-05

Havan, Thu Thao (Department: 3695)

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

Automated electrical financial or business practice or...

Finance

C705S037000

Reexamination Certificate

active

07809626

ABSTRACT:
A method for comparing, creating and optimizing investment portfolios is provided. The utility function for an investment is characterized, and the optimization problem for the utility function is stated based on investor preferences and risk tolerance. According to one embodiment, the measure of relative performance of investment portfolios is calculated based on the investor utility function. According to another embodiment, guidelines for generating an optimized portfolio for the investor from the plurality of asset classes available, are mapped out.

REFERENCES:
patent: 5784696 (1998-07-01), Melnikoff
patent: 6021397 (2000-02-01), Jones et al.

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