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
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
Original Assignee
Ge Financial Assurance Holding
Anindya Chakraborty
Kete Charles Chalermkraivuth
Michael Craig Clark
Richard Paul Messmer
Carol Lynn Kiaer
Srinivas Bollapragada
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 US10/390,710 external-priority patent/US7640201B2/en
Priority claimed from US10/390,709 external-priority patent/US7593880B2/en
Priority claimed from US10/390,689 external-priority patent/US20040186804A1/en
Application filed by Ge Financial Assurance Holding, Anindya Chakraborty, Kete Charles Chalermkraivuth, Michael Craig Clark, Richard Paul Messmer, Carol Lynn Kiaer, Srinivas Bollapragada filed Critical Ge Financial Assurance Holding
Publication of WO2004086183A2 publication Critical patent/WO2004086183A2/en
Publication of WO2004086183A3 publication Critical patent/WO2004086183A3/en

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR 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; CALCULATING OR COUNTING
    • G06N—COMPUTING ARRANGEMENTS BASED ON SPECIFIC COMPUTATIONAL MODELS
    • G06N20/00—Machine learning
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR 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

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 WO2004086183A2 (en)

Applications Claiming Priority (6)

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

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 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 (1)

* 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

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
EP1349104A3 (en) Method of selecting a portfolio of markers for use in a diagnostic application
WO2007053490A3 (en) Modeling financial instruments using bid and ask prices
WO2003025689A3 (en) Large scale process control by driving factor identification
WO2005081861A3 (en) Systems and methods for efficient frontier supplementation in multi-objective portfolio analysis
NO20092840L (en) Procedure and system for evaluating expected risk and uncertainty in investigation
WO2003036330A8 (en) Neural network based predication and optimization for groundwater / surface water system
WO2000032905A3 (en) Improved methods for performing reservoir simulation
WO2004013723A3 (en) Model and parameter selection for optical metrology
EP1367524A3 (en) Method and system for stress testing simulations of the behavior of financial instruments
GB2379274A (en) System and method for predicting tire forces using tire deformation sensors
WO2006031450A3 (en) System and method for hybrid spreading for risk management
WO2005013081A3 (en) Methods and systems for applying genetic operators to determine system conditions
TR200002915T2 (en) Method for application of lacquer.
WO2003017127A3 (en) Method for modelling biochemical pathways
WO2005050362A3 (en) Method and system for water quality trading
WO2007112085A3 (en) System and method of rebalancing a portfolio of separately managed accounts
WO2002025526A1 (en) System for evaluating profitability of developed medicine
WO2004097352A3 (en) Instrumentation, articles of manufacture, and analysis methods
EP4235306A3 (en) Method for determining a sampling scheme, a semiconductor substrate measurement apparatus, a lithographic apparatus
WO2004061419A3 (en) Systems and methods for estimating properties of a sample
WO2004086183A3 (en) Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization
ATE552571T1 (en) ARTIFICIAL COGNITIVE SYSTEM WITH AMARI DYNAMICS OF A NEURAL FIELD
WO2005048108A3 (en) System, method, and computer program product for testing program code
WO2004111314A3 (en) Algorithm for real-time process control of electro-polishing
García Site index: concepts and methods

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