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Methods and systems for analytical-based multifactor Multiobjective portfolio risk optimization
Methods and systems for analytical-based multifactor Multiobjective portfolio risk optimization
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机译:基于分析的多因素多目标投资组合风险优化的方法和系统
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摘要
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.
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