Load aware optimization
US7249081B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Feb 23, 2001 |
| Grant date | Jul 24, 2007 |
| Priority date | — |
| Expiry date | Jan 21, 2023 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/10
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A process utilizing a modification to the inputs to a standard portfolio optimization is provided for facilitating load aware optimizations. First, each loaded financial product, such as a mutual fund having a front end or back end load, of a set of available financial products is modeled as a loaded portion and an unloaded portion by determining an adjusted return. The adjusted return is based on a period the load bearing financial product is projected to be held in a portfolio and the amount of the load. A variable relating the fraction of a loaded financial product in the portfolio may be decomposed into two variables (one representing the loaded portion and another representing the unloaded portion) to regain the quadratic programming problem. The optimization may then be performed using quadratic programming techniques, and the fraction of each loaded financial product in the portfolio is calculated by combining the two variables.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.