Patent Document ID: 20090307149
Application ID: 12476564
Patent Flag: 0

Claim One:
1. A method, comprising: defining a portfolio optimization model, the model including at least one model parameter; determining original inputs for the model; performing an optimization procedure on each of the at least one model parameter to compute an original efficient frontier; selecting one or more portfolios from the original efficient frontier for calibration; generating a plurality of random samples of optimization inputs based on the original inputs; computing a current efficient frontier using the portfolio optimization model with the optimization inputs, thereby generating a plurality of optimal portfolio sets; calibrating each of the one or more selected portfolios of the original efficient frontier to create a corresponding calibration portfolio for each selected portfolio, wherein the calibrating includes projecting the selected portfolios onto the current efficient frontier; averaging each of the calibration portfolios for each of the selected portfolios of the original efficient frontier; and creating a calibrated efficient frontier report.