Investment portfolio optimization system, method and computer program product
Номер патента: EP1602046A4
Опубликовано: 22-03-2006
Автор(ы): Ananth Madhavan, Leonid Alexander Zosin
Принадлежит: ITG Software Solutions Inc
Опубликовано: 22-03-2006
Автор(ы): Ananth Madhavan, Leonid Alexander Zosin
Принадлежит: ITG Software Solutions Inc
Реферат: 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.
Investment portfolio optimization system, method and computer program product
Номер патента: EP1602046A2. Автор: Ananth Madhavan,Leonid Alexander Zosin. Владелец: ITG Software Solutions Inc. Дата публикации: 2005-12-07.