公开(公告)号：US20050187846A1

公开(公告)日：2005-08-25

申请号：US10781805

申请日：2004-02-20

申请人： Rajesh Subbu ,  Srinivas Bollapragada ,  Piero Bonissone ,  Kete Chalermkraivuth ,  Neil Eklund ,  Naresh Iyer

发明人： Rajesh Subbu ,  Srinivas Bollapragada ,  Piero Bonissone ,  Kete Chalermkraivuth ,  Neil Eklund ,  Naresh Iyer

IPC分类号： G06F17/60

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：US20050187847A1

公开(公告)日：2005-08-25

申请号：US10781871

申请日：2004-02-20

申请人： Piero Bonissone ,  Srinivas Bollapragada ,  Kete Chalermkraivuth ,  Neil Eklund ,  Naresh Iyer ,  Rajesh Subbu

发明人： Piero Bonissone ,  Srinivas Bollapragada ,  Kete Chalermkraivuth ,  Neil Eklund ,  Naresh Iyer ,  Rajesh Subbu

IPC分类号： G06Q40/00 ,  G06F17/60

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。

公开(公告)号：US20050187849A1

公开(公告)日：2005-08-25

申请号：US10781898

申请日：2004-02-20

申请人： Srinivas Bollapragada ,  Piero Bonissone ,  Kete Chalermkraivuth ,  Neil Eklund ,  Naresh Iyer ,  Rajesh Subbu

发明人： Srinivas Bollapragada ,  Piero Bonissone ,  Kete Chalermkraivuth ,  Neil Eklund ,  Naresh Iyer ,  Rajesh Subbu

IPC分类号： G06F17/60

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：US20050187848A1

公开(公告)日：2005-08-25

申请号：US10781897

申请日：2004-02-20

申请人： Piero Bonissone ,  Srinivas Bollapragada ,  Kete Chalermkraivuth ,  Neil Eklund ,  Naresh Iyer ,  Rajesh Subbu

发明人： Piero Bonissone ,  Srinivas Bollapragada ,  Kete Chalermkraivuth ,  Neil Eklund ,  Naresh Iyer ,  Rajesh Subbu

IPC分类号： G06Q40/00 ,  G06F17/60

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：US20050187845A1

公开(公告)日：2005-08-25

申请号：US10781804

申请日：2004-02-20

申请人： Neil Holger Eklund ,  Srinivas Bollapragada ,  Piero Bonissone ,  Kete Chalermkraivuth ,  Naresh Iyer ,  Rajesh Subbu

发明人： Neil Holger Eklund ,  Srinivas Bollapragada ,  Piero Bonissone ,  Kete Chalermkraivuth ,  Naresh Iyer ,  Rajesh Subbu

IPC分类号： G06Q40/00 ,  G06F17/60

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 in a space, the method comprising: generating a set of solutions of portfolio allocations in the space, the space having a plurality of dimensions; selecting a first dimension from the plurality of dimensions, the first dimension being a dimension under consideration; dividing the space into bins based on each dimension in the plurality of dimensions other than the dimension under consideration; determining a respective point in each bin with the most extreme value in the dimension under consideration; determining, based on the point in each bin with the most extreme value, whether other points in the space are dominant or dominated; and removing the dominated points from further consideration, so as to result in a reduced set of solutions, the reduced set of solutions 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多目标投资组合优化的方法，用于基于竞争目标的投资决策和构成空间中的投资组合问题的多个约束，所述方法包括：生成一组投资组合分配解决方案 所述空间具有多个尺寸; 从所述多个维度中选择第一维度，所述第一维度是所考虑的维度; 基于所考虑的维度以外的多个维度中的每个尺寸将空间分成箱体; 在所考虑的维度中确定每个仓库中具有最高极值的相应点; 根据每个仓库中具有最高极值的点确定空间中的其他点是否占主导地位或主导地位; 从进一步的考虑中消除支配地位，从而减少一套解决方案，减少投资决策中使用的一套解决方案。

公开(公告)号：US08249981B2

公开(公告)日：2012-08-21

申请号：US12336360

申请日：2008-12-16

申请人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Venkat Subbu ,  Jingjiao Zhang ,  David Chienju Li

发明人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Venkat Subbu ,  Jingjiao Zhang ,  David Chienju Li

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06N3/006 ,  G06N3/126 ,  G06N7/005

摘要： A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.

摘要翻译： 提供了一种用于生成优化的转移概率矩阵（OTPM）的方法。 该方法使用耦合到数据库的计算机系统来执行。 该方法包括在数据库中存储财务数据，包括义务人信用评级，使用存储在数据库内的财务数据为所选择的时间范围生成多期经验转移概率矩阵（ETPM），生成数学表达式以最小化目标ETPM之间的差异 值和候选OTPM值，以及从生成的数学表达式和存储在数据库中的财务数据计算OTPM，其中所计算的OTPM包括用于预测义务人的信用评级将迁移的可能性的优化转移概率值的第一组 在未来的第一个时间间隔内从一个信用状态到另一个信用状态。

公开(公告)号：US07822669B2

公开(公告)日：2010-10-26

申请号：US11691618

申请日：2007-03-27

申请人： Rajesh Tyagi ,  Kete Chalermkraivuth ,  Marc Anthony Garbiras ,  John Andrew Ellis ,  Matthew Allen ,  James G. Russo

发明人： Rajesh Tyagi ,  Kete Chalermkraivuth ,  Marc Anthony Garbiras ,  John Andrew Ellis ,  Matthew Allen ,  James G. Russo

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q50/16

摘要： A method of operating a computer system includes storing, in the computer system, a database containing performance measure data regarding performance measures of a plurality of items. The method further includes inputting into the computer system a plurality of performance measure constraints. The method also includes modeling the performance measure constraints with a set of equations. The equations include a plurality of variables. Each of the variables corresponds to a respective one of the items. Each variable is, for example, to be assigned either the value “1” or the value “0”. The value “1” may represent a recommendation to take an action relative to the corresponding item in the portfolio and the value “0” may represent a recommendation to take another action. The computer system is used to solve the set of equations to generate one or more solutions that satisfy the performance measure constraints.

摘要翻译： 一种操作计算机系统的方法包括在计算机系统中存储包含关于多个项目的性能测量的性能测量数据的数据库。 该方法还包括向计算机系统输入多个性能测量约束。 该方法还包括使用一组方程建模性能测量约束。 方程式包括多个变量。 每个变量对应于相应的一个项目。 例如，每个变量被赋予值“1”或值“0”。 值“1”可以表示相对于投资组合中的相应项目采取行动的建议，值“0”可以表示采取另一动作的建议。 计算机系统用于解决方程组，以生成满足性能测量约束的一个或多个解决方案。

公开(公告)号：US20110246386A9

公开(公告)日：2011-10-06

申请号：US12336360

申请日：2008-12-16

申请人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Vankat Subbu ,  Jingjiao Zhang

发明人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Vankat Subbu ,  Jingjiao Zhang

IPC分类号： G06Q40/00 ,  G06N5/02 ,  G06F15/18

CPC分类号： G06Q40/06 ,  G06N3/006 ,  G06N3/126 ,  G06N7/005

摘要： A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.

摘要翻译： 提供了一种用于生成优化的转移概率矩阵（OTPM）的方法。 该方法使用耦合到数据库的计算机系统来执行。 该方法包括在数据库中存储财务数据，包括义务人信用评级，使用存储在数据库内的财务数据为所选择的时间范围生成多期经验转移概率矩阵（ETPM），生成数学表达式以最小化目标ETPM之间的差异 值和候选OTPM值，以及从生成的数学表达式和存储在数据库中的财务数据计算OTPM，其中所计算的OTPM包括用于预测义务人的信用评级将迁移的可能性的优化转移概率值的第一组 在未来的第一个时间间隔内从一个信用状态到另一个信用状态。

公开(公告)号：US20080120251A1

公开(公告)日：2008-05-22

申请号：US11691618

申请日：2007-03-27

申请人： Rajesh Tyagi ,  Kete Chalermkraivuth ,  Marc Anthony Garbiras ,  John Andrew Ellis ,  Matthew Allen ,  James G. Russo

发明人： Rajesh Tyagi ,  Kete Chalermkraivuth ,  Marc Anthony Garbiras ,  John Andrew Ellis ,  Matthew Allen ,  James G. Russo

IPC分类号： G06Q40/00 ,  G06F19/00

CPC分类号： G06Q40/06 ,  G06Q50/16

摘要： A method of operating a computer system includes storing, in the computer system, a database containing performance measure data regarding performance measures of a plurality of items. The method further includes inputting into the computer system a plurality of performance measure constraints. The method also includes modeling the performance measure constraints with a set of equations. The equations include a plurality of variables. Each of the variables corresponds to a respective one of the items. Each variable is, for example, to be assigned either the value “1” or the value “0”. The value “1” may represent a recommendation to take an action relative to the corresponding item in the portfolio and the value “0” may represent a recommendation to take another action. The computer system is used to solve the set of equations to generate one or more solutions that satisfy the performance measure constraints.

摘要翻译： 一种操作计算机系统的方法包括在计算机系统中存储包含关于多个项目的性能测量的性能测量数据的数据库。 该方法还包括向计算机系统输入多个性能测量约束。 该方法还包括使用一组方程建模性能测量约束。 方程式包括多个变量。 每个变量对应于相应的一个项目。 例如，每个变量被赋予值“1”或值“0”。 值“1”可以表示相对于投资组合中的相应项目采取行动的建议，值“0”可以代表采取另一动作的建议。 计算机系统用于解决方程组，以生成满足性能测量约束的一个或多个解决方案。

公开(公告)号：US20100153299A1

公开(公告)日：2010-06-17

申请号：US12336360

申请日：2008-12-16

申请人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Vankat Subbu ,  Jingjiao Zhang

发明人： Sean Coleman Keenan ,  Vishwanath Avasarala ,  Jason Wayne Black ,  Kete Chalermkraivuth ,  John Andrew Ellis ,  Radu Neagu ,  Rajesh Vankat Subbu ,  Jingjiao Zhang

IPC分类号： G06Q40/00 ,  G06N5/02 ,  G06F15/18

CPC分类号： G06Q40/06 ,  G06N3/006 ,  G06N3/126 ,  G06N7/005

摘要： A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.

摘要翻译： 提供了一种用于生成优化的转移概率矩阵（OTPM）的方法。 该方法使用耦合到数据库的计算机系统来执行。 该方法包括在数据库中存储财务数据，包括义务人信用评级，使用存储在数据库内的财务数据为所选择的时间范围生成多期经验转移概率矩阵（ETPM），生成数学表达式以最小化目标ETPM之间的差异 值和候选OTPM值，以及从生成的数学表达式和存储在数据库中的财务数据计算OTPM，其中所计算的OTPM包括用于预测义务人的信用评级将迁移的可能性的优化转移概率值的第一组 在未来的第一个时间间隔内从一个信用状态到另一个信用状态。