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Title: US7542932: Systems and methods for multi-objective portfolio optimization
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Country: US United States of America

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Inventor: Chalermkraivuth, Kete Charles; Niskayuna, NY, United States of America
Bollapragada, Srinivas; Niskayuna, NY, United States of America
Bonissone, Piero Patrone; Schenectady, NY, United States of America
Clark, Michael Craig; Glen Ellyn, IL, United States of America
Eklund, Neil Holger White; Clifton Park, NY, United States of America
Iyer, Naresh Sundaram; Clifton Park, NY, United States of America
Subbu, Rajesh Venkat; Clifton Park, NY, United States of America

Assignee: General Electric Company, Niskayuna, NY, United States of America
other patents from GENERAL ELECTRIC COMPANY (218550) (approx. 30,796)
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Published / Filed: 2009-06-02 / 2004-02-20

Application Number: US2004000781780

IPC Code: Advanced: G06Q 40/00;
Core: more...

ECLA Code: G06Q40/00;

U.S. Class: 705/035; 705/007; 705/010; 705/036.R; 708/130; 708/131; 708/132; 708/134; 434/107; 434/108; 434/191; 434/211;

Field of Search: 705/035,7,10,36 R 708/130-132,134 434/107,108,181,211

Priority Number:
2004-02-20  US2004000781780

Abstract:     The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising: generating an initial population of solutions of portfolio allocations; performing a first multi-objective process, based on the initial population and the competing objectives, to generate a first interim efficient frontier; performing a second multi-objective process, based on the initial population and the competing objectives, to generate a second interim efficient frontier; and fusing the first interim efficient frontier with the second interim efficient frontier to create an augmented efficient frontier for use in investment decisioning.

Attorney, Agent or Firm: Asmus, Scott J. ;

Primary / Asst. Examiners: Cheung, Mary; Fertig, Brian

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First Claim:
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    1. A method for multi-objective portfolio optimization, the method comprising the steps of:

generating an initial population of solutions of portfolio allocations using a combination of linear programming and sequential linear programming algorithms in a portfolio configuration space using a computing device, the portfolio configuration space having a plurality of dimensions;

generating a first interim efficient frontier in a portfolio performance space having at least three dimensions using a Pareto Sorting Evolutionary Algorithm (PSEA);

generating a second interim efficient frontier in the portfolio performance space using a Target Objectives Genetic Algorithm (TOGA);

concatenating the first interim efficient frontier with the second interim efficient frontier to create a third interim efficient frontier; and

passing the third interim efficient frontier through a dominance filter to generate a final efficient frontier for use in investment decisions.



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Forward References: Show 1 U.S. patent(s) that reference this one

       
U.S. References: Go to Result Set: All U.S. references   |  Forward references (1)   |   Backward references (113)   |   Citation Link

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  • Continuity Data:
    Application Number Filed Notes

    US2004000781780 2004-02-20  is a related to the prior publication
         US20050187844A1 issued 2005-08-25  Systems and methods for multi-objective portfolio optimization


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