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US08548890B2 Expected utility maximization in large-scale portfolio optimization 失效
大规模投资组合优化中的预期效用最大化

  • Patent Title: Expected utility maximization in large-scale portfolio optimization
  • Patent Title (中): 大规模投资组合优化中的预期效用最大化
  • Application No.: US12927175
    Application Date: 2010-11-09
  • Publication No.: US08548890B2
    Publication Date: 2013-10-01
  • Inventor: Gerd Infanger
  • Applicant: Gerd Infanger
  • Agent William C. Milks, III
  • Main IPC: G06Q40/00
  • IPC: G06Q40/00
Expected utility maximization in large-scale portfolio optimization
Abstract:
A system and method efficiently solve the expected utility maximization problem in large-scale financial asset portfolio optimization. The system and method solve the expected utility maximization problem employing a factor representation of asset returns. Additionally, the system and method calibrate the optimization model to a benchmark to obtain unconditional mean returns and enable active management based on conditional expected return predictions. The system and method also enable options to be considered as part of the portfolio.
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