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Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization

  • US 20040186814A1
  • Filed: 03/19/2003
  • Published: 09/23/2004
  • Est. Priority Date: 03/19/2003
  • Status: Active Grant
First Claim
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1. A method for determining an efficient frontier, which comprises a collection of security allocations in a portfolio, with multiple, conflicting objectives in a multi-factor portfolio problem, the method comprising:

  • providing a mathematical model of a relaxation of a problem;

    generating a sequence of additional constraints; and

    sequentially applying respective nonlinear risk functions to generate respective adjusted maximum return solutions to obtain an efficient frontier.

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