Patent ID: 7720738

Claim:
An electronic system comprising: a computer processor; memory coupled to said processor; and software stored on said memory and executed by said processor, said software causing said processor to: (a) retrieve historical market data, wherein said market data represents a plurality of p investment securities with an associated set of historical price data for a plurality of 1, 2, . . . N time periods, where N is an integer; (b) determine a price ratio matrix, wherein said price ratio matrix includes a plurality of ratio elements for each of the p investment securities and each ratio element is a quotient based on the historical market price data, wherein said quotient is the historical price data for a selected time period divided by the historical price data for a prior time period, and wherein said quotient represents a growth or decline factor for each of the plurality of investment securities; (c) calculate from the price ratio matrix, a simulation matrix for the plurality of investment securities M time units into the future, said simulation matrix based on resampling with replacement the ratio elements for the 1, 2, . . . N time periods from the price ratio matrix, wherein said simulation matrix includes a plurality of simulation elements, each simulation element is a product of M resampled with replacement ratio elements for each of the p investment securities; (d) repeat said calculate step a plurality of times to produce a multivariate simulation distribution of the concatenated ratios in synchrony for each of the p investment securities; (e) determine a set of optimized weights from the simulation distribution, wherein each weight of the set of weights is such that all weights sum to one and are optimized subject to a plurality of constraints and an optimization function, and wherein a set of non-optimized initial weights are provided; and (f) determine the optimized weights based on the non-optimized initial weights from which an optimized investment portfolio is determined for the plurality of p investment securities.