METHOD AND SYSTEM FOR PORTFOLIO OPTIMIZATION FROM ORDERING INFORMATION

摘要

A method of optimizing a portfolio includes selecting (30) an investment universe with a finite number of assets, forming (32) a belief matrix based on one or more homogeneous inequality relationships among the expected returns of assets in the universe, selecting (33) those asset returns that are consistent with the belief matrix to form a consistent set of return vectors, selecting (35) a set of allowable weight vectors for the assets in the universe, determining (36) a centroid vector of the consistent set of return vectors with respect to a probability measure, and finding (37) an optimal portfolio by finding a weight vector on a boundary of the set of allowable weight vectors that maximizes an inner product with the centroid vector.