×

Systems and methods for multi-objective portfolio optimization

  • US 20050187844A1
  • Filed: 02/20/2004
  • Published: 08/25/2005
  • Est. Priority Date: 02/20/2004
  • Status: Active Grant
First Claim
Patent Images

1. A method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising:

  • generating an initial population of solutions of portfolio allocations;

    performing a first multi-objective process, based on the initial population and the competing objectives, to generate a first interim efficient frontier;

    performing a second multi-objective process, based on the initial population and the competing objectives, to generate a second interim efficient frontier; and

    fusing the first interim efficient frontier with the second interim efficient frontier to create an augmented efficient frontier for use in investment decisioning.

View all claims
  • 1 Assignment
Timeline View
Assignment View
    ×
    ×