Methods and systems for analytical-based multifactor Multiobjective portfolio risk optimization
First Claim
1. A method for determining the allocation of securities in a portfolio, the method comprising:
- performing multivariate decision tree processing on a collection of securities in a portfolio using at least two concurrent target variables comprising a plurality of risk measures and at least one return measure, the plurality of risk measures including variance, skewness and Value at Risk, and pooling each security into a plurality of substantially homogeneous security clusters based on the target variables using a processor of a computing device;
determining pooled measures for each substantially homogeneous cluster, the pooled measures serving as proxies to each security in the portfolio, the pooled measures serving as inputs to the multivariate decision tree processing using the processor of the computing device;
processing the plurality of substantially homogeneous security clusters using a nonlinear programming optimizer to generate optimization results using the processor of the computing device; and
presenting the optimization results in a risk-return space for determination of a security allocation using the processor of the computing device.
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Accused Products
Abstract
The invention provides systems and methods for determining the allocation of securities in a portfolio. The method includes providing a collection of securities in a portfolio, each security being associated with associated attributes; providing risk factor data related to the portfolio; pooling the securities into a plurality of security clusters based on the attributes associated with each security and the risk factor data, each security being assigned to an security cluster, the pooling being performed using multivariate decision tree processing; processing the security clusters using a nonlinear programming optimizer to generate optimization results; and presenting the optimization results in a risk-return space for determination of a security allocation.
140 Citations
10 Claims
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1. A method for determining the allocation of securities in a portfolio, the method comprising:
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performing multivariate decision tree processing on a collection of securities in a portfolio using at least two concurrent target variables comprising a plurality of risk measures and at least one return measure, the plurality of risk measures including variance, skewness and Value at Risk, and pooling each security into a plurality of substantially homogeneous security clusters based on the target variables using a processor of a computing device; determining pooled measures for each substantially homogeneous cluster, the pooled measures serving as proxies to each security in the portfolio, the pooled measures serving as inputs to the multivariate decision tree processing using the processor of the computing device; processing the plurality of substantially homogeneous security clusters using a nonlinear programming optimizer to generate optimization results using the processor of the computing device; and presenting the optimization results in a risk-return space for determination of a security allocation using the processor of the computing device. - View Dependent Claims (2, 3, 4, 5)
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6. A system for determining the allocation of securities in a portfolio, the system represented as a computer program tangibly embodied on a computer readable medium and executed by a computing device, comprising:
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a security attribute portion, being at least one of an asset data portion and a liability data portion, containing attributes associated with a collection of securities in a portfolio; a risk factor data portion that provides risk factor data related to securities in the portfolio; a pooling portion that performs multivariate decision tree processing on the collection of securities in the portfolio using at least two target variables comprising a plurality of risk measures and at least one return measure the plurality of risk measures including variance, skewness and Value at Risk, pools each security into a plurality of substantially homogeneous security clusters based on the target variables, and determines pooled measures for each substantially homogeneous cluster, the pooled measures serving as proxies to each security in the portfolio, the pooled measures serving as inputs to the multivariate decision tree processing; an optimization portion that processes the plurality of substantially homogeneous security clusters using a nonlinear programming optimizer to generate optimization results; and a presentation portion that presents the optimization results in a risk-return space for determination of a security allocation. - View Dependent Claims (7, 8, 9)
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10. An article of manufacturing for determining the allocation of securities in a portfolio, the article of manufacturing comprising:
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a computer readable medium tangibly embodying a computer program executable by a processor of a computer, wherein the computer program contains; a first portion containing attributes associated with a collection of securities in a portfolio; a second portion that provides risk factor data related to securities in the portfolio; a third portion that performs multivariate decision tree processing on the collection of securities in the portfolio using at least two concurrent target variables comprising a plurality of risk measures and at least one return measure the plurality of risk measures including variance, skewness and Value at Risk, pools each security into a plurality of substantially homogeneous security clusters based on the target variables, and determines pooled measures for each substantially homogeneous cluster, the pooled measures serving as proxies to each security in the portfolio, the pooled measures serving as inputs to the multivariate decision tree processing; a fifth portion that processes the plurality of substantially homogeneous security clusters using a nonlinear programming optimizer to generate optimization results; and a sixth portion that presents the optimization results in a risk-return space for determination of a security allocation.
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Specification