Investment management system accuracy increasing method

摘要

A method of improving investment performance models accuracy by taking into the account the effects of model optimization process that leads to systematic calculation errors caused by the limited amount of available historical investment data and a method of testing such systems that creates artificial historical investment data with known theoretical performance for such models. An investment management system comprising user interaction interface comprising a manual step of entering time independent investment algorithm, and automatic steps of performing all other necessary calculations leading to the production of real time portfolio management instructions.

主权项

1. An investment management system comprising of:
1. An algorithm that for a given set of some investment data that can be observed at some historical or present moment M1 used as an input creates an output data Out(M1) which: 1.1 Estimates investment data that can be observed at a moment M2 that comes after the moment M1, 2. Variables, methods or decisions used in the algorithm (1), referred further here as optimization parameters, 3. A process of choosing optimization parameters (2) from some set to improve the estimation (1.1) accuracy of the output data Out(M) of the said algorithm (1) on some: 3.1 Finite set of historical investment data samples, 4. Systematic estimation (1.1) calculation error introduced by the above process (3) of choosing optimization parameters as the result of limited amount of available statistical samples (3.1) and finite non-zero amount of optimization parameters (2), 5. A method of reducing said systematic calculation error (4).