| 摘要 |
Systems and methods for optimizing a portfolio comprising a plurality of assets, wherein the plurality of assets have a degree of interdependence are disclosed. The method may include estimating expected return rates, levels of risk, and correlation coefficients for a plurality of assets, wherein the assets are of the plurality of assets and the correlation coefficients are associated with the degree of interdependence of the assets; applying a non-standard probability distribution function to the assets to determine a distribution for each asset, wherein the non-standard probability distribution function is based at least on the expected return rate, level of risk, and correlation coefficient of that asset; and calculating an efficient frontier based on the distributions for the assets.
|
