公开(公告)号：US07469228B2

公开(公告)日：2008-12-23

申请号：US10781897

申请日：2004-02-20

申请人： Piero Patrone Bonissone ,  Srinivas Bollapragada ,  Kete Charles Chalermkraivuth ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

发明人： Piero Patrone Bonissone ,  Srinivas Bollapragada ,  Kete Charles Chalermkraivuth ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06

摘要： The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising: performing a first multi-objective optimization process, based on competing objectives, to generate an efficient frontier of possible solutions; observing the generated efficient frontier; based on the observing, identifying an area of the efficient frontier in which there is a gap; and effecting a gap filling process by which the efficient frontier is supplemented in the area of the gap, the efficient frontier being used in investment decisioning.

摘要翻译： 本发明的系统和方法针对组合优化和相关技术。 例如，本发明提供了一种用于基于竞争目标和构成投资组合问题的多个约束的投资决策中的多目标投资组合优化的方法，所述方法包括：基于竞争目标执行第一多目标优化过程 ，以产生可能的解决方案的有效前沿; 观察生成的有效边界; 根据观察，确定存在差距的有效边界的一个区域; 并在差距填补过程中，有效的前沿在差距领域得到补充，有效的前沿被用于投资决策。

公开(公告)号：US08219477B2

公开(公告)日：2012-07-10

申请号：US10781805

申请日：2004-02-20

申请人： Rajesh Venkat Subbu ,  Srinivas Bollapragada ,  Piero Patrone Bonissone ,  Kete Charles Chalermkraivuth ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer

发明人： Rajesh Venkat Subbu ,  Srinivas Bollapragada ,  Piero Patrone Bonissone ,  Kete Charles Chalermkraivuth ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06

摘要： The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising: generating an initial population of solutions of portfolio allocations; committing the initial population of solutions to an initial population archive; performing a multi-objective process, based on the initial population archive and on multiple competing objectives, to generate an efficient frontier, the multi-objective process including a evolutionary algorithm process, the evolutionary algorithm process utilizing a dominance filter, the efficient frontier being used in investment decisioning.

摘要翻译： 本发明的系统和方法针对组合优化和相关技术。 例如，本发明提供了一种用于基于竞争目标和构成组合问题的多个约束的投资决策中的多目标投资组合优化的方法，所述方法包括：生成投资组合分配的最初解决方案群体; 将最初的人口解决方案提交给初始人口档案; 基于初始人口档案和多个竞争目标，进行多目标过程，以产生有效的前沿，多目标过程包括进化算法过程，利用优势过滤器的进化算法过程，使用的有效边界 投资决策。

公开(公告)号：US07640201B2

公开(公告)日：2009-12-29

申请号：US10390710

申请日：2003-03-19

申请人： Kete Charles Chalermkraivuth ,  Anindya Chakraborty ,  Michael Craig Clark ,  Richard Paul Messmer

发明人： Kete Charles Chalermkraivuth ,  Anindya Chakraborty ,  Michael Craig Clark ,  Richard Paul Messmer

IPC分类号： G06Q99/00

CPC分类号： G06Q40/06

摘要： The invention provides systems and methods for determining the allocation of securities in a portfolio. The method includes providing a collection of securities in a portfolio, each security being associated with associated attributes; providing risk factor data related to the portfolio; pooling the securities into a plurality of security clusters based on the attributes associated with each security and the risk factor data, each security being assigned to an security cluster, the pooling being performed using multivariate decision tree processing; processing the security clusters using a nonlinear programming optimizer to generate optimization results; and presenting the optimization results in a risk-return space for determination of a security allocation.

摘要翻译： 本发明提供用于确定投资组合中证券分配的系统和方法。 该方法包括在投资组合中提供证券集合，每个证券与相关联的属性相关联; 提供与投资组合相关的风险因素数据; 基于与每个安全性相关联的属性和风险因子数据将证券集中到多个安全集群中，每个安全性被分配给安全集群，所述集合使用多变量决策树处理来执行; 使用非线性编程优化器处理安全集群以生成优化结果; 并将优化结果呈现在用于确定安全分配的风险回报空间中。

公开(公告)号：US07593880B2

公开(公告)日：2009-09-22

申请号：US10390709

申请日：2003-03-19

申请人： Kete Charles Chalermkraivuth ,  Carol Lynn Kiaer ,  Srinivas Bollapragada ,  Anindya Chakraborty

发明人： Kete Charles Chalermkraivuth ,  Carol Lynn Kiaer ,  Srinivas Bollapragada ,  Anindya Chakraborty

IPC分类号： G06Q99/00

CPC分类号： G06Q40/08 ,  G06Q40/06

摘要： The invention provides systems and methods for determining an efficient frontier, which comprises a collection of security allocations in a portfolio, with multiple, conflicting objectives in a multi-factor portfolio problem. The method includes providing a mathematical model of a relaxation of a problem; generating a sequence of additional constraints; and sequentially applying respective nonlinear risk functions to generate respective adjusted maximum return solutions to obtain an efficient frontier.

摘要翻译： 本发明提供了用于确定有效边界的系统和方法，其包括投资组合中的安全分配的集合，在多因素投资组合问题中具有多个冲突的目标。 该方法包括提供放松问题的数学模型; 产生附加约束的序列; 并且顺序地应用各自的非线性风险函数以产生相应的经调整的最大返回解，以获得有效的边界。

公开(公告)号：US08126795B2

公开(公告)日：2012-02-28

申请号：US10781898

申请日：2004-02-20

申请人： Srinivas Bollapragada ,  Piero Patrone Bonissone ,  Kete Charles Chalermkraivuth ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

发明人： Srinivas Bollapragada ,  Piero Patrone Bonissone ,  Kete Charles Chalermkraivuth ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06

摘要： The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising: generating an initial population of solutions of portfolio allocations, the generating the initial population of solutions of portfolio allocations including systematically generating the initial population of solutions to substantially cover the space defined by the competing objectives and the plurality of constraints; and generating an efficient frontier in the space based on the initial population, the efficient frontier for use in investment decisioning.

摘要翻译： 本发明的系统和方法针对组合优化和相关技术。 例如，本发明提供了一种用于基于竞争目标和构成组合问题的多个约束的投资决策中的多目标投资组合优化的方法，所述方法包括：生成投资组合分配的初始解决方案群体， 包括投资组合分配的最初解决方案，其中包括系统地产生解决方案的初始群体，以充分覆盖竞争目标和多个约束所界定的空间; 并根据初始人口，投资决策中使用的有效前沿，在空间中产生有效的前沿。

公开(公告)号：US07542932B2

公开(公告)日：2009-06-02

申请号：US10781780

申请日：2004-02-20

申请人： Kete Charles Chalermkraivuth ,  Srinivas Bollapragada ,  Piero Patrone Bonissone ,  Michael Craig Clark ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

发明人： Kete Charles Chalermkraivuth ,  Srinivas Bollapragada ,  Piero Patrone Bonissone ,  Michael Craig Clark ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

IPC分类号： G06Q40/00

CPC分类号： G06Q40/00 ,  G06Q10/06375 ,  G06Q40/06

摘要： The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising: generating an initial population of solutions of portfolio allocations; performing a first multi-objective process, based on the initial population and the competing objectives, to generate a first interim efficient frontier; performing a second multi-objective process, based on the initial population and the competing objectives, to generate a second interim efficient frontier; and fusing the first interim efficient frontier with the second interim efficient frontier to create an augmented efficient frontier for use in investment decisioning.

摘要翻译： 本发明的系统和方法针对组合优化和相关技术。 例如，本发明提供了一种用于基于竞争目标和构成组合问题的多个约束的投资决策中的多目标投资组合优化的方法，所述方法包括：生成投资组合分配的最初解决方案群体; 根据初始人口和竞争目标，进行第一个多目标过程，以产生第一个临时有效的前沿; 根据初始人口和竞争目标进行第二个多目标过程，以产生第二个临时有效的边界; 并将第一个临时有效的边界与第二个临时有效的前沿融合，创造出一个扩大的投资决策的有效前沿。

公开(公告)号：US20050187844A1

公开(公告)日：2005-08-25

申请号：US10781780

申请日：2004-02-20

申请人： Kete Charles Chalermkraivuth ,  Srinivas Bollapragada ,  Piero Patrone Bonissone ,  Michael Craig Clark ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

发明人： Kete Charles Chalermkraivuth ,  Srinivas Bollapragada ,  Piero Patrone Bonissone ,  Michael Craig Clark ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

IPC分类号： G06Q40/00 ,  G06F17/60

CPC分类号： G06Q40/00 ,  G06Q10/06375 ,  G06Q40/06

摘要： The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising: generating an initial population of solutions of portfolio allocations; performing a first multi-objective process, based on the initial population and the competing objectives, to generate a first interim efficient frontier; performing a second multi-objective process, based on the initial population and the competing objectives, to generate a second interim efficient frontier; and fusing the first interim efficient frontier with the second interim efficient frontier to create an augmented efficient frontier for use in investment decisioning.

摘要翻译： 本发明的系统和方法针对组合优化和相关技术。 例如，本发明提供了一种用于基于竞争目标和构成组合问题的多个约束的投资决策中的多目标投资组合优化的方法，所述方法包括：生成投资组合分配的最初解决方案群体; 根据初始人口和竞争目标，进行第一个多目标过程，以产生第一个临时有效的前沿; 根据初始人口和竞争目标进行第二个多目标过程，以产生第二个临时有效的边界; 并将第一个临时有效的边界与第二个临时有效的前沿融合，创造出一个扩大的投资决策的有效前沿。

公开(公告)号：US07630928B2

公开(公告)日：2009-12-08

申请号：US10781871

申请日：2004-02-20

申请人： Piero Patrone Bonissone ,  Srinivas Bollapragada ,  Kete Charles Chalermkraivuth ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

发明人： Piero Patrone Bonissone ,  Srinivas Bollapragada ,  Kete Charles Chalermkraivuth ,  Neil Holger White Eklund ,  Naresh Sundaram Iyer ,  Rajesh Venkat Subbu

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06

摘要： The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method sequentially comprising: generating a non-dominated solution set in a space; applying a first set of user-specified constraints to reduce the solutions in the non-dominated solution set to a solution subset; and executing a series of local tradeoffs on the solution subset to result in a resulting solution subset, the local tradeoffs being performed in a lower dimension performance space as compared to the space, and the solution subset being used in investment decisioning.

摘要翻译： 本发明的系统和方法针对组合优化和相关技术。 例如，本发明提供了一种用于基于竞争目标和构成投资组合问题的多个约束的投资决策中的多目标投资组合优化的方法，所述方法顺序地包括：在空间中生成非主导解集; 应用第一组用户指定的约束以将非主导解集合中的解减少到解子集; 并且在解决方案子集上执行一系列局部权衡以产生最终的解决方案子集，与空间相比较，在较低维度的性能空间中执行本地权衡，以及在投资决策中使用的解决方案子集。