| 摘要 |
Described herein are systems and methods for calibrating the efficiency of portfolios for financial optimizations. One exemplary method includes defining a portfolio optimization model, determining original inputs for the model, performing an optimization procedure on each of the at least one model parameter to compute an original efficient frontier, selecting one or more portfolios from the original efficient frontier for calibration, generating a plurality of random samples of optimization inputs based on the original inputs, computing a current efficient frontier using the portfolio optimization model with the optimization inputs, calibrating each of the one or more selected portfolios of the original efficient frontier to create a corresponding calibration portfolio for each selected portfolio and averaging each of the calibration portfolios for each of the selected portfolios of the original efficient frontier, and creating a calibrated efficient frontier report.
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