PORTFOLIO OPTIMIZATION AND EVALUATION TOOL

• US 20160019647A1
• Filed: 07/21/2014
• Published: 01/21/2016
• Est. Priority Date: 07/21/2014
• Status: Active Grant

• Current Assignee: Validus Holdings Ltd. (American International Group Incorporated)
• Original Assignee: Validus Services (Bermuda) Ltd. (American International Group Incorporated)
• Inventors: Hofmann, Georg Wilhelm
• Granted Patent: US 10,664,914 B2
• Time in Patent Office: Days
• US Class Current: 1/1
• CPC Class Codes: G06Q 40/00 Finance; Insurance; Tax strategies; Processing of corporate or income taxes
• CPC Class Codes: G06Q 40/04 Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
• CPC Class Codes: G06Q 40/06 Asset management; Financial planning or analysis

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.

Claims

1. 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.

2. The computer system of claim 1, wherein the first constraint is a first level of risk.

3. The computer system of claim 2, wherein the second constraint is a second level of risk.

4. The computer system of claim 3, wherein the first constraint is a profit margin.

5. The computer system of claim 1, wherein the processor is configured determine a first solution by maximizing the product of a transpose of the n-dimensional matrix and the first constraint.

6. The computer system of claim 1, wherein the portfolio scenarios comprise insurance events.

7. The computer system of claim 6, wherein the portfolio scenarios further comprise severity for each event.

8. A computer-readable storage medium having embodied thereon a program, the program being executable by a computer processor to perform a method for optimizing a portfolio, the method:

transposing an n-dimensional matrix to determine a first solution by maximizing a product of the transpose of a n-dimensional matrix comprising for a plurality of instruments, an instrument value for a plurality of scenarios, and a first constraint;

determining 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, processing a second constraint with the first solution to obtain a second solution; and

determining whether the second solution is within the accepted range of the acceptable risk.

9. The computer-readable storage medium of claim 8, wherein the first constraint is a first level of risk.

10. The computer-readable storage medium of claim 9, wherein the second constraint is a second level of risk.

11. The computer-readable storage medium of claim 8, wherein the first constraint is a profit margin.

12. The computer-readable storage medium of claim 8, wherein the portfolio of scenarios comprise insurance events.

13. The computer-readable storage medium of claim 12, wherein the portfolio of scenarios further comprise severity for each event.