[go: up one dir, main page]

WO2004086183A3 - Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization - Google Patents

Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization Download PDF

Info

Publication number
WO2004086183A3
WO2004086183A3 PCT/US2004/008448 US2004008448W WO2004086183A3 WO 2004086183 A3 WO2004086183 A3 WO 2004086183A3 US 2004008448 W US2004008448 W US 2004008448W WO 2004086183 A3 WO2004086183 A3 WO 2004086183A3
Authority
WO
WIPO (PCT)
Prior art keywords
methods
matrix
risk
multiobjective
systems
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Ceased
Application number
PCT/US2004/008448
Other languages
French (fr)
Other versions
WO2004086183A2 (en
Inventor
Anindya Chakraborty
Kete Charles Chalermkraivuth
Michael Craig Clark
Richard Paul Messmer
Carol Lynn Kiaer
Srinivas Bollapragada
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
GE Financial Assurance Holdings Inc
Original Assignee
GE Financial Assurance Holdings Inc
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Priority claimed from US10/390,709 external-priority patent/US7593880B2/en
Priority claimed from US10/390,710 external-priority patent/US7640201B2/en
Priority claimed from US10/390,689 external-priority patent/US20040186804A1/en
Application filed by GE Financial Assurance Holdings Inc filed Critical GE Financial Assurance Holdings Inc
Publication of WO2004086183A2 publication Critical patent/WO2004086183A2/en
Publication of WO2004086183A3 publication Critical patent/WO2004086183A3/en
Anticipated expiration legal-status Critical
Ceased legal-status Critical Current

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06N—COMPUTING ARRANGEMENTS BASED ON SPECIFIC COMPUTATIONAL MODELS
    • G06N20/00—Machine learning
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06N—COMPUTING ARRANGEMENTS BASED ON SPECIFIC COMPUTATIONAL MODELS
    • G06N5/00—Computing arrangements using knowledge-based models
    • G06N5/01—Dynamic search techniques; Heuristics; Dynamic trees; Branch-and-bound

Landscapes

  • Engineering & Computer Science (AREA)
  • Theoretical Computer Science (AREA)
  • General Physics & Mathematics (AREA)
  • Business, Economics & Management (AREA)
  • Software Systems (AREA)
  • Physics & Mathematics (AREA)
  • Development Economics (AREA)
  • Finance (AREA)
  • Computing Systems (AREA)
  • Mathematical Physics (AREA)
  • Evolutionary Computation (AREA)
  • Data Mining & Analysis (AREA)
  • General Engineering & Computer Science (AREA)
  • Accounting & Taxation (AREA)
  • Artificial Intelligence (AREA)
  • Game Theory and Decision Science (AREA)
  • Strategic Management (AREA)
  • Computational Linguistics (AREA)
  • Human Resources & Organizations (AREA)
  • Operations Research (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Technology Law (AREA)
  • General Business, Economics & Management (AREA)
  • Computer Vision & Pattern Recognition (AREA)
  • Medical Informatics (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
  • Management, Administration, Business Operations System, And Electronic Commerce (AREA)

Abstract

The invention provides systems and methods for performing a risk measure (140) simulation process through matrix manipulation. The method includes defining the change in risk factors; defining portfolio risk sensitivities (200) such as Delta and Gamma; restating the change in risk factors in Delta-Gamma formulation, applying the P transformation matrix to Gamma to define a matrix; determining the eigenvalue decomposition to obtain a matrix of eigenvectors and applying the matrix of eigenvectors and the P transformation matrix to evaluate the risk measures. Methods of determining allocation (30) of securities in a portfolio are determined as well as the efficient frontier (30).
PCT/US2004/008448 2003-03-19 2004-03-19 Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization Ceased WO2004086183A2 (en)

Applications Claiming Priority (6)

Application Number Priority Date Filing Date Title
US10/390,710 2003-03-19
US10/390,709 US7593880B2 (en) 2003-03-19 2003-03-19 Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization
US10/390,710 US7640201B2 (en) 2003-03-19 2003-03-19 Methods and systems for analytical-based multifactor Multiobjective portfolio risk optimization
US10/390,709 2003-03-19
US10/390,689 2003-03-19
US10/390,689 US20040186804A1 (en) 2003-03-19 2003-03-19 Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization

Publications (2)

Publication Number Publication Date
WO2004086183A2 WO2004086183A2 (en) 2004-10-07
WO2004086183A3 true WO2004086183A3 (en) 2005-06-09

Family

ID=33102134

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2004/008448 Ceased WO2004086183A2 (en) 2003-03-19 2004-03-19 Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization

Country Status (1)

Country Link
WO (1) WO2004086183A2 (en)

Families Citing this family (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
AU2009202103B2 (en) 2008-06-25 2012-04-12 Aristocrat Technologies Australia Pty Limited A gaming system and a method of gaming
CN113222767A (en) * 2021-05-21 2021-08-06 中国建设银行股份有限公司 Data processing method and device for indexing securities combination
CN118940193B (en) * 2024-10-11 2024-12-27 浙大城市学院 A method and system for dynamic prediction of safety risk of subway tunnel structure
CN120258540B (en) * 2025-06-06 2025-09-05 杭银消费金融股份有限公司 Training method for improving generalization capability of wind control model

Citations (6)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US6021397A (en) * 1997-12-02 2000-02-01 Financial Engines, Inc. Financial advisory system
US6173276B1 (en) * 1997-08-21 2001-01-09 Scicomp, Inc. System and method for financial instrument modeling and valuation
US6278981B1 (en) * 1997-05-29 2001-08-21 Algorithmics International Corporation Computer-implemented method and apparatus for portfolio compression
US6393409B2 (en) * 1997-10-31 2002-05-21 Morgan Stanley Dean Witter & Co. Computer method and apparatus for optimizing portfolios of multiple participants
US6473084B1 (en) * 1999-09-08 2002-10-29 C4Cast.Com, Inc. Prediction input
US6546375B1 (en) * 1999-09-21 2003-04-08 Johns Hopkins University Apparatus and method of pricing financial derivatives

Patent Citations (6)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US6278981B1 (en) * 1997-05-29 2001-08-21 Algorithmics International Corporation Computer-implemented method and apparatus for portfolio compression
US6173276B1 (en) * 1997-08-21 2001-01-09 Scicomp, Inc. System and method for financial instrument modeling and valuation
US6393409B2 (en) * 1997-10-31 2002-05-21 Morgan Stanley Dean Witter & Co. Computer method and apparatus for optimizing portfolios of multiple participants
US6021397A (en) * 1997-12-02 2000-02-01 Financial Engines, Inc. Financial advisory system
US6473084B1 (en) * 1999-09-08 2002-10-29 C4Cast.Com, Inc. Prediction input
US6546375B1 (en) * 1999-09-21 2003-04-08 Johns Hopkins University Apparatus and method of pricing financial derivatives

Also Published As

Publication number Publication date
WO2004086183A2 (en) 2004-10-07

Similar Documents

Publication Publication Date Title
WO2004109451A3 (en) Securities trading simulation
WO2005066660A3 (en) Processing seismic data representing a physical system
WO2003025689A3 (en) Large scale process control by driving factor identification
Alizadeh et al. A comparison of two and three-dimensional analyses of fatigue crack closure
WO2005081861A3 (en) Systems and methods for efficient frontier supplementation in multi-objective portfolio analysis
WO2007053490A3 (en) Modeling financial instruments using bid and ask prices
WO2004013723A3 (en) Model and parameter selection for optical metrology
WO2002065374A3 (en) Volumetric laminated sand analysis
TWI263911B (en) System and method of generating simulated diffraction signals for two-dimensional structures, and computer-readable medium thereof
TR200002915T2 (en) Method for application of lacquer.
WO2003017127A3 (en) Method for modelling biochemical pathways
WO2005050362A3 (en) Method and system for water quality trading
WO2004086183A3 (en) Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization
WO2002025526A1 (en) System for evaluating profitability of developed medicine
WO2005106720A3 (en) Method of determining a hysteresis curve and apparatus
PT831689E (en) USE OF INDETERMINATED GAMETOFITO GENE FOR MAIZE IMPROVEMENT
WO2003054773A3 (en) Non-linear modelling of biological activity of chemical compounds
WO2004097352A3 (en) Instrumentation, articles of manufacture, and analysis methods
WO2004061419A3 (en) Systems and methods for estimating properties of a sample
BR0302315A (en) Method for determining soil formation parameters surrounding a wellbore
WO2005008544A8 (en) System and method for multiple model object sharing
WO2005124545A3 (en) Method and apparatus for spreadsheet automation
García Site index: concepts and methods
NO20080329L (en) Method and system for strengthening power consumption during rock drilling and rock drilling apparatus comprising such a system.
WO2001071531A3 (en) Method of analyzing chemical processes

Legal Events

Date Code Title Description
AK Designated states

Kind code of ref document: A2

Designated state(s): AE AG AL AM AT AU AZ BA BB BG BR BW BY BZ CA CH CN CO CR CU CZ DE DK DM DZ EC EE EG ES FI GB GD GE GH GM HR HU ID IL IN IS JP KE KG KP KR KZ LC LK LR LS LT LU LV MA MD MG MK MN MW MX MZ NA NI NO NZ OM PG PH PL PT RO RU SC SD SE SG SK SL SY TJ TM TN TR TT TZ UA UG US UZ VC VN YU ZA ZM ZW

AL Designated countries for regional patents

Kind code of ref document: A2

Designated state(s): BW GH GM KE LS MW MZ SD SL SZ TZ UG ZM ZW AM AZ BY KG KZ MD RU TJ TM AT BE BG CH CY CZ DE DK EE ES FI FR GB GR HU IE IT LU MC NL PL PT RO SE SI SK TR BF BJ CF CG CI CM GA GN GQ GW ML MR NE SN TD TG

121 Ep: the epo has been informed by wipo that ep was designated in this application
122 Ep: pct application non-entry in european phase