Patent Document ID: 9721300
Application ID: 12476564
Patent Flag: 1

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