US 7,321,871 B2 | ||
Enhancing utility and diversifying model risk in a portfolio optimization framework | ||
Jason S. Scott, Menlo Park, Calif. (US); Christopher L. Jones, Redwood Shores, Calif. (US); James W. Shearer, San Francisco, Calif. (US); and John G. Watson, Menlo Park, Calif. (US) | ||
Assigned to Financial Engines, Inc., Palo Alto, Calif. (US) | ||
Filed on Sep. 17, 2001, as Appl. No. 9/955,394. | ||
Application 09/955394 is a continuation in part of application No. 09/151715, filed on Sep. 11, 1998, granted, now 6,292,787. | ||
Prior Publication US 2003/0078867 A1, Apr. 24, 2003 | ||
This patent is subject to a terminal disclaimer. | ||
Int. Cl. G06Q 40/00 (2006.01) |
U.S. Cl. 705—36R | 42 Claims |
1. A method comprising:
a. determining an initial efficient portfolio of financial products selected by an optimization process from an available
set of financial products;
b. determining an alternate portfolio that is more diverse than the initial efficient portfolio by searching one or more dimensions
of an error space proximate to or surrounding the initial efficient portfolio for a more diverse portfolio of financial products
from the available set of financial products;
c. calculating a cost associated with the alternate portfolio by determining the difference between a characteristic of the
initial efficient portfolio and a corresponding characteristic of the alternate portfolio; and
d. selecting the alternate portfolio if the cost is less than or equal to a predetermined diversity budget.
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