主权项 |
1. A method for selecting a value of portfolio weight for each of a plurality of assets of an optimal portfolio, the value of portfolio weight chosen from values between zero and unity, each asset having a defined expected return and a defined variance or standard deviation of return, each asset having a covariance with respect to each of every other asset of the plurality of assets, the method comprising:
a. computing a mean-variance efficient frontier based at least on input data characterizing the defined expected return and the defined standard deviation of return of each of the plurality of assets; b. constructing auxiliary portfolios with same return based on the result of sort; c. using simple or other high-dimensional convex hull algorithm to figure out boundary points portfolios set; d. computing corresponding conditional centroids based on boundary points portfolios set; e. computing a weighted efficient portfolio frontier with unconditional centroid and conditional centroids with property sample reliability and confidence level; f. selecting a portfolio weight for each asset from the weighted efficient frontier according to a specified utility function or return/risk objective; g. investing funds in accordance with the selected portfolio weights. |