Investment portfolio optimization system, method and computer program product
US7337137B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Aug 14, 2003 |
| Grant date | Feb 26, 2008 |
| Priority date | — |
| Expiry date | Apr 7, 2024 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/00
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
The preferred embodiments provide improved systems, methods and products for the optimization of a portfolio and/or multi-portfolios of assets, such as stocks. In some preferred embodiments, new methodology can be employed wherein a confidence region for a mean-varience efficiency set is utilized. In some preferred embodiments, new methodology can be employed for improved computation of a reward-to-variability ratio or Sharpe Ratio. In some preferred embodiments, new methodology can be employed for multiportfolio optimization. In some preferred embodiments, a portfolio optimization engine or module can be adapted to implement one or more of these new methodologies, along with any other desired methodologies.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.