Portfolio optimization and evaluation tool
First Claim
1. A computer system comprising:
- a processor; and
a tangible, non-transitory memory configured to communicate with the processor,the tangible, non-transitory memory having instructions stored thereon that, in response to execution by the processor, cause the processor to perform operations comprising;
storing, by the processor, a plurality of portfolio scenarios and, for each instrument, an instrument value for each of the plurality of portfolio scenarios in an n-dimensional matrix, a first constraint and a second constraint;
transposing, by the processor, the n-dimensional matrix, to determine a first solution by maximizing the product of a transpose of the n-dimensional matrix and the first constraint;
determining, by the processor, a conditional value at risk (CVaR);
determining, by the processor, an accepted range of an acceptable risk based on the CVaR,determining, by the processor, whether the first solution is within the accepted range of the acceptable risks;
if the first solution is not within the accepted range of the acceptable risk, processing, by the processor, the second constraint with the first solution to obtain a second solution; and
if the first solution is not within the accepted range of the acceptable risk, determining, by the processor, whether the second solution is within the accepted range of the acceptable risk.
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Accused Products
Abstract
A computer system configured to evaluate a portfolio comprising instruments, comprising a computer memory configured to store, for each instrument, an instrument value for each portfolio scenario in an n-dimensional matrix, a first constraint and a second constraint; and a computer processor configured to transpose the n-dimensional matrix, to determine a first solution by maximizing the product of transpose of the n-dimensional matrix and the first constraint, determine whether the first solution is within an accepted range of an acceptable risk, if the expected first solution is not within an accepted range of an acceptable risk, process the second constraint with the first solution to obtain a second solution, and determine whether the second solution is within the accepted range of the acceptable risk.
25 Citations
16 Claims
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1. A computer system comprising:
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a processor; and a tangible, non-transitory memory configured to communicate with the processor, the tangible, non-transitory memory having instructions stored thereon that, in response to execution by the processor, cause the processor to perform operations comprising; storing, by the processor, a plurality of portfolio scenarios and, for each instrument, an instrument value for each of the plurality of portfolio scenarios in an n-dimensional matrix, a first constraint and a second constraint; transposing, by the processor, the n-dimensional matrix, to determine a first solution by maximizing the product of a transpose of the n-dimensional matrix and the first constraint; determining, by the processor, a conditional value at risk (CVaR); determining, by the processor, an accepted range of an acceptable risk based on the CVaR, determining, by the processor, whether the first solution is within the accepted range of the acceptable risks; if the first solution is not within the accepted range of the acceptable risk, processing, by the processor, the second constraint with the first solution to obtain a second solution; and if the first solution is not within the accepted range of the acceptable risk, determining, by the processor, whether the second solution is within the accepted range of the acceptable risk. - View Dependent Claims (2, 3, 4, 5, 6, 13, 15)
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7. A method comprising:
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transposing, by a processor, an n-dimensional matrix that comprises a portfolio of instruments and an instrument value for each of a plurality of portfolio scenarios that is saved in computer memory; determining, by the processor, a first solution by maximizing a product of the transpose of the n-dimensional matrix and a first constraint; determining, by the processor, a conditional value at risk (CVaR) by calculating a risk vector for each portfolio scenario; determining, by the processor, an accepted range of an acceptable risk based on the CVaR; determining, by the processor, whether the first solution is within the accepted range of the acceptable risk and outputting the first solution to a computer system display if the first solution is within the accepted range of acceptable risk; if the first solution is not within the accepted range of the acceptable risk, processing, by the processor, a second constraint with the first solution to obtain a second solution; and if the first solution is not within the accepted range of the acceptable risk, determining, by the processor, whether the second solution is within the accepted range of the acceptable risk. - View Dependent Claims (8, 9, 10, 11, 12, 14, 16)
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Specification