Cash generation from portfolio disposition using genetic algorithms
First Claim
1. A computer-implemented method of determining an asset disposition plan for an asset portfolio including a plurality of assets while optimizing at least one objective, the computer-implemented method comprising:
- obtaining a genome population having a first set of vectors, each vector in the first set of vectors representing an asset disposition plan, numerically defining a disposition of each asset in the asset portfolio;
obtaining a plurality of objectives with respect to the asset disposition plan, the objectives including generation of a cash amount and each objective associated with a weight indicating the importance of the objective; and
modifying the genome population by use of a genetic algorithm, including;
determining a fitness for each of the vectors in the genome population using objective values, the objective values determined by applying objective functions to the vectors, each object value weighted by the corresponding weights; and
introducing new vectors in the genome population derived from other vectors including the first set of vectors, until at least one of the vectors in the genome population represents an asset disposition plan, such that disposition of each asset in accordance with the asset disposition plan most nearly generates the cash amount while optimizing the objectives.
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Abstract
A plan for disposing of assets in a given asset portfolio is determined using a genetic algorithm, which operates to satisfy certain objectives, including the generation of a cash amount. A genome population including a number of vectors is generated. The genome population is modified using a genetic algorithm, until at least one vector represents a change in the percentage of each asset such that the disposition of each asset in accordance with the vector most nearly satisfies one or more objectives.
40 Citations
32 Claims
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1. A computer-implemented method of determining an asset disposition plan for an asset portfolio including a plurality of assets while optimizing at least one objective, the computer-implemented method comprising:
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obtaining a genome population having a first set of vectors, each vector in the first set of vectors representing an asset disposition plan, numerically defining a disposition of each asset in the asset portfolio;
obtaining a plurality of objectives with respect to the asset disposition plan, the objectives including generation of a cash amount and each objective associated with a weight indicating the importance of the objective; and
modifying the genome population by use of a genetic algorithm, including;
determining a fitness for each of the vectors in the genome population using objective values, the objective values determined by applying objective functions to the vectors, each object value weighted by the corresponding weights; and
introducing new vectors in the genome population derived from other vectors including the first set of vectors, until at least one of the vectors in the genome population represents an asset disposition plan, such that disposition of each asset in accordance with the asset disposition plan most nearly generates the cash amount while optimizing the objectives. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26)
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27. A computer program product for determining an asset disposition plan for an asset portfolio including a plurality of assets while optimizing at least one objective, the computer program product stored on a computer readable medium and adapted to perform operations of:
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obtaining a genome population having a first set of vectors, each vector in the first set of vectors representing an asset disposition plan, numerically defining a disposition of each asset in the asset portfolio;
obtaining a plurality of objectives with respect to the asset disposition plan, the objectives including generation of a cash amount and each objective associated with a weight indicating the importance of the objective; and
modifying the genome population by use of a genetic algorithm, including;
determining a fitness for each of the vectors in the genome population using objective values, the objective values determined by applying objective functions to the vectors and weighted by the corresponding weights; and
introducing new vectors in the genome population derived from other vectors including the first set of vectors, until at least one of the vectors in the genome population represents an asset disposition plan, such that disposition of each asset in accordance with the asset disposition plan most nearly generates the cash amount while optimizing the objectives. - View Dependent Claims (28, 29, 30)
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31. A system for determining an asset disposition plan for an asset portfolio including a plurality of assets while optimizing a plurality of objectives with respect to the asset disposition plan by a genetic algorithm, the objectives including generation of a cash amount and each objective being associated with a weight indicating the importance of the objective, the system comprising:
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an initialization module for obtaining a genome population having a first set of vectors, each vector in the first set of vectors representing an asset disposition plan, numerically defining a disposition of each asset in the asset portfolio;
a scoring module for determining fitness for each vector in the genome population using objective values, the objective values associated with the objectives and weighted by the corresponding weights;
a selection module for selecting mating vectors from the first set of vectors based on the fitness of each of the first set of vectors;
a mating module for mating the selected mating vectors to obtain a second set of vectors;
a mutation module for mutating the second set of vectors to obtain a third set of vectors; and
a replacement module for replacing selected ones of vectors in the first set of vectors in the genome population with the third set of vectors, the replacement module replacing the vectors until at least one of the vectors in the genome population represents an asset disposition plan, such that disposition of each asset in accordance with the asset disposition plan most nearly generates the cash amount while optimizing the objectives. - View Dependent Claims (32)
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Specification