摘要 |
The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem, the method comprising: performing a first multi-objective optimization process, based on competing objectives, to generate an efficient frontier of possible solutions; observing the generated efficient frontier; based on the observing, identifying an area of the efficient frontier in which there is a gap; and effecting a gap filling process by which the efficient frontier is supplemented in the area of the gap, the efficient frontier being used in investment decisioning. |
申请人 |
GENERAL ELECTRIC COMPANY;BONISSONE, PIERO PATRONE;BOLLAPRAGADA, SRINIVAS;CHALERMKRAIVUTH, KETE, CHARLES;EKLUND, NEIL, HOLGER, WHITE;IYER, NARESH, SUNDARAM;SUBBU, RAJESH VENKAT |
发明人 |
BONISSONE, PIERO PATRONE;BOLLAPRAGADA, SRINIVAS;CHALERMKRAIVUTH, KETE, CHARLES;EKLUND, NEIL, HOLGER, WHITE;IYER, NARESH, SUNDARAM;SUBBU, RAJESH VENKAT |