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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 an efficient frontier, which comprises a collection of security allocations in a portfolio, with multiple, conflicting objectives in a multi-factor portfolio problem. The method includes providing a mathematical model of a relaxation of a problem; generating a sequence of additional constraints; and sequentially applying respective nonlinear risk functions to generate respective adjusted maximum return solutions to obtain an efficient frontier.
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