Patent ID: 7171385
Filing Date: 2007-01-30
Classification: G06Q

Abstract:
1. A non-variance-based method of determining an optimal portfolio from a plurality of portfolios, wherein the steps of the method are performed by computer, a user directing the computer to compute the optimal portfolio, the method comprising the steps of: a) computing a mark-to-future value for each of the plurality of portfolios, b) for each of the plurality of portfolios, disaggregating the portfolio such that the portfolio is characterized by an upside value and a downside value, c) determining at least one efficient portfolio from the plurality of portfolios, d) obtaining a utility function provided as input, and selecting an optimal portfolio from the at least one efficient portfolio that maximizes the utility function; wherein the determining step comprises solving a linear program defined by: maximize (x,u,d)p where q is the current mark-to market-values of securities; M is the Mark-to-Future values (M ji =value of security i in scenario j); p is the subjective prior scenario probabilities; r is the benchmark growth rates; x is the position sizes; x L is the lower position limits; x U is the upper position limits; d is the portfolio unrealized loss or downside; u is the portfolio unrealized gain or upside.