Method and system for constructing approximate minimum variance portfolios
US10304136B1 · kind B1 · utility
Assignee
Inventor
Key dates
| Filing date | Jan 5, 2015 |
| Grant date | May 28, 2019 |
| Priority date | — |
| Expiry date | May 5, 2036 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A computer-based method for construction portfolios, including: populate an initial estimated portfolio covariance matrix; generate initial configurations by populating covariance matrices with randomly selected assets; determine scores for the initial configurations; calculate a first statistical function for the scores; select an initial configuration satisfying a criterion regarding the statistical function; generate iteration configurations by successively replacing one asset with a randomly selected asset; determining a score for each iteration configuration; calculate a second statistical function of the scores; calculate a statistical function of the first and second statistical functions; select a starting cooled configuration; generate modified cooled configurations by replacing one asset when a score for the modified cooled configuration satisfies a criterion; and when a score for a modified cooled configuration satisfies a criterion, save, in a memory unit, the assets and weights of dividend factors of assets for the cooled configuration as a recommended set of assets.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.