Patent ID: 8433635

Claim:
A computer implemented method for optimizing a portfolio of financial assets comprising the steps of: (a) defining, in a processing unit of a computing machine, a value delta Percent, wherein delta Percent and integer multiples thereof provide a quantitative relationship between the possible weights assumable by each financial asset in the portfolio; (b) defining a set of possible weights for each financial asset in the portfolio; (c) determining a feasible weight set from the sets of possible weights, the elements of the feasible weight set including sub-sets having as elements possible weights such that the possible weights sum to 1; (d) computing, in the processing unit, a risk-return profile for each element of the feasible weight set; and (e) selecting the risk-return profile having the greatest mean annualized total return, wherein the mean annualized total return for each risk-return profile is calculated by (i) computing, in the processing unit, a plurality of holding times for each financial asset, wherein each holding time is an integral number of periods for measuring the return for the financial asset, and wherein each period is within a date range comprising a duration of time for which price data is available for a respective financial asset, (ii) computing, for each holding time of the plurality of holding times, a set of sub-intervals comprising all possible date ranges within the date range of the financial asset that are of a duration of the respective holding time; and (iii) computing, for each set of sub-intervals, an average annualized total return.