Patent ID: 7412414

Claim:
A computer-implemented method for selecting a value of a portfolio weight for each of a plurality of assets of an optimal portfolio, the value of portfolio weight chosen from specified values associated with each asset, between real numbers c 1 and c 2 that may vary by asset, 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 mean-variance efficient frontier based at least on input data characterizing the defined expected return and the defined standard deviation of return of each of the plurality of assets; b. indexing a set of portfolios located on the mean-variance efficient frontier thereby creating an indexed set of portfolios; c. choosing a forecast certainty level for defining a resampling process of the input data consistent with an assumed forecast certainty of the input data; d. defining a resampling process of the input data consistent with the chosen forecast certainty of the input data; e. resampling, in accordance with the process defined by the forecast certainty level, a plurality of simulations of input data statistically consistent with the defined expected return and the defined standard deviation of return of each of the plurality of assets; f. computing a simulated mean-variance efficient portfolio for each of the plurality of simulations of input data; g. associating each simulated mean-variance efficient portfolio with a specified portfolio of the indexed set of portfolios for creating a set of identical-index-associated mean-variance efficient portfolios; h. establishing a statistical mean for each set of identical-index-associated mean-variance efficient portfolios, thereby generating a plurality of statistical means, the plurality of statistical means defining a resampled efficient frontier, wherein processes (a), (b), and (d)-(g) are digital computer processes; i. selecting a portfolio weight for each asset from the resampled efficient frontier according to a specified utility objective; and j. investing funds in accordance with the selected portfolio weights.