Patent ID: 7401041
Filing Date: 2008-07-15
Classification: G06Q

Abstract:
1. A computer-based method for determining an investment portfolio based on investment parameters, the portfolio including a number of assets, the assets having return and factor loading data associated therewith, the method comprising the following computer-executed steps: selecting a confidence threshold for the investment parameters; determining a nominal value for the mean return for each asset; determining a nominal factor loading vector for each asset; determining a nominal factor covariance matrix; defining the uncertainty set for the mean return vector based upon the nominal returns for each asset and the confidence threshold; defining the uncertainty set for the factor loading matrix based upon the nominal factor loading vectors and the confidence threshold; defining the uncertainty set for the factor covariance matrix based on the nominal factor covariance matrix and the confidence threshold; and based upon a desired investment objective, applying at least one of said uncertainty sets to an investment problem of interest to determine a market return vector such that the worst case market parameters reside within the applied uncertainty sets with a probability set by the selected confidence threshold, wherein said investment portfolio is created based on said market return vector.