Patent ID: 7337137

Claim:
A method for optimizing a portfolio of assets, comprising: a) inputting portfolio data into an optimization engine, said optimization engine having a confidence region module; b) having said optimization engine generate optimization results via said confidence region module and outputting said results, wherein said confidence region module defines a confidence region for a mean-variance efficient set for a portfolio P o on an efficient frontier that corresponds to a risk aversion γ; and c) rebalancing a portfolio based on said optimization results; wherein the region includes all portfolios P, such that: c low *Risk(P 0 )<Risk(P)<c high *Risk(P 0 ) and Ret(P)>c*Ret(P opt ), where P opt is a portfolio on the efficient frontier such that Risk(P opt )=Risk(P) and c low , c high and c are relative average deviations of decrease in risk, increase in risk and expected return of optimal portfolios that correspond to the risk aversion γ and different vectors of returns.