FORMULATION OF OPTIMIZED INVESTMENT INDECES

摘要

Investment performance indices and methods of their formulation are described. The indices are determined by selecting a representative subset of assets (e.g., exchange-traded index funds) from a relatively larger number of possibilities in a given asset class. A performance index for the asset class is created by determining optimized weightings in each asset in the subset. The weightings can be optimized according to any number of optimization algorithms, including MVO, CVaR, and G-CAPM and tailored to a given investor risk profile. One or more "investor-centered" indices may be generated in this manner, for the asset class.