Patent Document ID: 20020123953
Application ID: 10022647
Patent Status: 0

Claim One:
1. A computer-based method for determining an investment portfolio based on investment parameters, the portfolio including a number of assets, the assets having return and factor loading data associated therewith, the method comprising: selecting a confidence threshold for the investment parameters; determining a nominal value for the mean return for each asset; determining a nominal factor loading vector for each asset; determining a nominal factor covariance matrix; defining the uncertainty set for the mean return vector based upon the nominal returns for each asset and the confidence threshold; defining the uncertainty set for the factor loading matrix based upon the nominal factor loading vectors and the confidence threshold; defining the uncertainty set for the factor covariance matrix based on the nominal factor covariance matrix and the confidence threshold; and based upon a desired investment objective, applying at least one of said uncertainty sets to an investment problem of interest such that the worst case market parameters reside within the applied uncertainty sets with a probability set by the selected confidence threshold.