US 20040181479A1
(19) United States
(12) Patent Application Publication (io) Pub. No.: US 2004/0181479 Al
Zosin et al. (43) Pub. Date: Sep. 16,2004
(54) INVESTMENT PORTFOLIO OPTIMIZATION SYSTEM, METHOD AND COMPUTER PROGRAM PRODUCT
(75) Inventors: Leonid Alexander Zosin, Waltham, MA (US); Ananth Madhavan, New
York, NY (US)
Correspondence Address:
ROTHWELL, FIGG, ERNST & MANBECK,
PC.
1425 K STREET, N.W.
SUITE 800
WASHINGTON, DC 20005 (US) (73) Assignee: ITG, Inc., New York, NY
(21) Appl. No.: 10/640,630
(22) Filed: Aug. 14, 2003
Related U.S. Application Data
(60) Provisional application No. 60/448,147, filed on Feb. 20, 2003.
The prelerred embodiments provide improved systems, methods and products for the optimization ol a portfolio and/or multi-portfolios ol assets, such as stocks. In some prelerred embodiments, new methodology can be employed wherein a confidence region for a mean-varience efficiency set is utilized. In some prelerred embodiments, new methodology can be employed for improved computation ol a reward-to-variability ratio or Sharpe Ratio. In some prelerred embodiments, new methodology can be employed for multiportfolio optimization. In some prelerred embodiments, a portfolio optimization engine or module can be adapted to implement one or more ol these new methodologies, along with any other desired methodologies.
