Portfolio optimization by means of resampled efficient...

Details Portfolio optimization by means of resampled efficient... Portfolio optimization by means of resampled efficient...

G - Physics

06

Q

G06Q 40/00 (2006.01)

Patent

CA 2320081

A method for evaluating an existing or putative portfolio having a plurality of assets. A mean-variance efficient portfolio is computed for a plurality of simulations of input data statistically consistent with an expected return and expected standard deviation of return, and each such portfolio is associated, by means of an index, with a specified portfolio on the mean variance efficient frontier. A statistical mean of the index-associated mean-variance efficient portfolios is used for evaluating a portfolio for consistency with a specified risk objective.

L'invention concerne un procédé servant à évaluer un portefeuille existant ou virtuel possédant plusieurs éléments d'actif. On calcule un portefeuille efficace à variance moyenne pour une pluralité de simulations de données d'entrée statistiquement compatibles avec un rendement attendu et un écart type attendu de rendement. Chacun des ces portefeuille est associé, au moyen d'un index, à un portefeuille spécifié sur la limite efficace à variance moyenne. On utilise une moyenne statistique de portefeuilles efficaces à variance moyenne associés à un index pour évaluer un portefeuille qui soit cohérent avec un objectif de risques spécifié.

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