Patent ID: 6928418

Claim:
A computer-implemented method for determining whether to rebalance the distribution of assets in a current portfolio having a plurality of assets, the current portfolio having a total portfolio value, each asset having a value forming a fraction of the total of portfolio value, each asset having a defined expected return and a defined standard deviation of return, each asset having a covariance with respect to each of every other asset of the plurality of assets, the method comprising; a. computing a set of meta-resampled efficient frontiers based on a resampled efficient frontier; b. identifying a target portfolio from the resampled efficient frontier based on a specified criterion; c. defining a statistical metric of the target portfolio based on norm values of a set of associated simulated efficient portfolios with respect to the target portfolio; d. performing a statistical test, characterized by parameters, of the current portfolio with respect to the target portfolio as to whether the current portfolio is statistically distinct from the target portfolio to a specified confidence level, wherein processes (a) and (d) are digital computer processes; and e. rebalancing the current portfolio considering statistical distinction of the current portfolio from the target portfolio.