WO2005081902A3 - Systems and methods for multi-objective portfolio optimization - Google Patents

Systems and methods for multi-objective portfolio optimization Download PDF

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Publication number
WO2005081902A3
WO2005081902A3 PCT/US2005/005399 US2005005399W WO2005081902A3 WO 2005081902 A3 WO2005081902 A3 WO 2005081902A3 US 2005005399 W US2005005399 W US 2005005399W WO 2005081902 A3 WO2005081902 A3 WO 2005081902A3
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WO
WIPO (PCT)
Prior art keywords
efficient frontier
systems
methods
objective
portfolio
Prior art date
Application number
PCT/US2005/005399
Other languages
French (fr)
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WO2005081902A2 (en
Inventor
Kete Charles Chalermkraivuth
Srinivas Bollapragada
Piero Patrone Bonissone
Michael Craig Clark
Neil Holger White Eklund
Naresh Sundaram Iyer
Rajesh Venkat Subbu
Original Assignee
Gen Electric
Kete Charles Chalermkraivuth
Srinivas Bollapragada
Piero Patrone Bonissone
Michael Craig Clark
Neil Holger White Eklund
Naresh Sundaram Iyer
Rajesh Venkat Subbu
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Application filed by Gen Electric, Kete Charles Chalermkraivuth, Srinivas Bollapragada, Piero Patrone Bonissone, Michael Craig Clark, Neil Holger White Eklund, Naresh Sundaram Iyer, Rajesh Venkat Subbu filed Critical Gen Electric
Publication of WO2005081902A2 publication Critical patent/WO2005081902A2/en
Publication of WO2005081902A3 publication Critical patent/WO2005081902A3/en

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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/06—Resources, workflows, human or project management; Enterprise or organisation planning; Enterprise or organisation modelling
    • G06Q10/063—Operations research, analysis or management
    • G06Q10/0637—Strategic management or analysis, e.g. setting a goal or target of an organisation; Planning actions based on goals; Analysis or evaluation of effectiveness of goals
    • G06Q10/06375—Prediction of business process outcome or impact based on a proposed change
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Abstract

The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising: generating an initial population of solutions of portfolio allocations; performing a first multi-objective process, based on the initial population and the competing objectives, to generate a first interim efficient frontier; performing a second multi-objective process, based on the initial population and the competing objectives, to generate a second interim efficient frontier; and fusing the first interim efficient frontier with the second interim efficient frontier to create an augmented efficient frontier for use in investment decisioning.
PCT/US2005/005399 2004-02-20 2005-02-18 Systems and methods for multi-objective portfolio optimization WO2005081902A2 (en)

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US10/781,780 2004-02-20
US10/781,780 US7542932B2 (en) 2004-02-20 2004-02-20 Systems and methods for multi-objective portfolio optimization

Publications (2)

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WO2005081902A2 WO2005081902A2 (en) 2005-09-09
WO2005081902A3 true WO2005081902A3 (en) 2007-05-18

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PCT/US2005/005399 WO2005081902A2 (en) 2004-02-20 2005-02-18 Systems and methods for multi-objective portfolio optimization

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US (1) US7542932B2 (en)
WO (1) WO2005081902A2 (en)

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