General Electric Company

Carol Lynn Kiaer

Avinash Vinayak Taware

Srinivas Bollapragada

James Kenneth Aragones

Robert Marcel Mattheyses

Kete Chalermkraivuth

Anindya Chakraborty

Ronald George Maruscik

The invention provides systems and methods for determining an efficient frontier, which comprises a collection of security allocations in a portfolio, with multiple, conflicting objectives in a multi-factor portfolio problem. The method includes providing a mathematical model of a relaxation of a problem; generating a sequence of additional constraints; and sequentially applying respective nonlinear risk functions to generate respective adjusted maximum return solutions to obtain an efficient frontier.

Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization

A method for facilitating an optimization of a control space in n dimensions is provided. The control space includes a plurality of points, and the method includes removing at least one hyperplane of the control space, and perturbing the remaining points of the control space to lessen errors relative to the control space prior to the removal of at least one hyperplane.

Methods and apparatus for reducing hyperplanes in a control space

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Argyle, NY, United States of America

Carol Lynn Kiaer