10-05-2017 дата публикации
Номер: KR1020170049369A
Принадлежит:
The present invention relates to a system and a method thereof to optimize a portfolio. According to the system of the present invention, when an index such as conditional loss VaR, which indicates divisional linearity to value ratios of individual asset groups forming a portfolio, is used as a function to measure the loss risk of a portfolio and the asset groups thereof, a time series matrix, which indicates profit indexes of at least two individual asset groups and value changes of the asset groups, is used as an input value, and thus, state indexes of an optimized portfolio are formed and outputted through a secondary nonlinear approximation algorithm under conditions considering the entire asset group adjustment cost, the entire portfolio budget, the entire portfolio loss risk index, or the entire portfolio profit index. When N, the total number of asset groups forming the portfolio, is a natural number not less than 2, initial and optimal states of the portfolio are matched with dots ...
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