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    • 7. 发明申请
    • Portfolio rebalancing by means of resampled efficient frontiers with forecast confidence level
    • 通过重新采样的有效前沿与预测信心水平进行投资组合重新平衡
    • US20050273414A1
    • 2005-12-08
    • US11158267
    • 2005-06-21
    • Richard MichaudRobert Michaud
    • Richard MichaudRobert Michaud
    • G06F20060101G06Q10/06G06Q40/00G06Q40/04G06Q40/06G06F17/60
    • G06Q40/06G06Q10/063G06Q40/00G06Q40/04
    • A computer-implemented method and computer program product for selecting a portfolio weight (subject to specified constraints) for each of a plurality of assets of an optimal portfolio. A mean-variance efficient frontier is calculated based on input data characterizing the defined expected return and the defined standard deviation of return of each of the plurality of assets. Multiple sets of optimization inputs are drawn from a distribution of simulated optimization inputs consistent with the defined expected return, the defined standard deviation of return of each of the plurality of assets and then a simulated mean-variance efficient frontier is computed for each set of optimization inputs. A meta-resampled efficient frontier is determined as a statistical mean of associated portfolios among the simulated mean-variance efficient frontiers, and a portfolio weight is selected for each asset from the meta-resampled efficient frontier according to a specified investment objective. The number of simulations and the number of simulation periods is determined on the basis of a specified level of forecast certainty.
    • 一种计算机实现的方法和计算机程序产品,用于为最佳投资组合的多个资产中的每一个选择投资组合权重(受规定的约束)。 基于表征定义的预期收益的输入数据和确定的多个资产中每个资产的定义的回报标准差来计算均值方差有效边界。 从定义的预期回报中确定的模拟优化输入的分布中抽取多组优化输入,确定多个资产中每个资产的定义的回报标准差,然后针对每组优化计算模拟均方差有效边界 输入。 元抽样有效边界被确定为模拟平均方差有效边界之间相关投资组合的统计平均值,根据指定的投资目标,从元重采样的有效边界为每个资产选择投资组合权重。 模拟次数和模拟周期数是根据指定的预测确定水平来确定的。