General Electric Company

General Electric Capital Corporation

Ge Corporate Financial Services, Inc.

Kete Chalermkraivuth

Rajesh Venkat Subbu

Srinivas Bollapragada

Piero Patrone Bonissone

Naresh Sundaram Iyer

Neil Holger White Eklund

John Andrew Ellis

Anindya Chakraborty

Michael Craig Clark

James G Russo

Matthew Allen

Jason Wayne Black

Richard Paul Messmer

Rajesh Tyagi

Marc Anthony Garbiras

Sean Coleman Keenan

Carol Lynn Kiaer

Jose R Celaya

Hoai-Hai Doan

Melissa Ialeggio

Vishwanath Avasarala

Radu Neagu

Jingjiao Zhang

David Chienju Li

A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.

Methods and systems for generating transition probability matrices through an optimization framework

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: generating an initial population of solutions of portfolio allocations; committing the initial population of solutions to an initial population archive; performing a multi-objective process, based on the initial population archive and on multiple competing objectives, to generate an efficient frontier, the multi-objective process including a evolutionary algorithm process, the evolutionary algorithm process utilizing a dominance filter, the efficient frontier being used in investment decisioning.

Systems and methods for multi-objective portfolio analysis using pareto sorting evolutionary algorithms

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: generating an initial population of solutions of portfolio allocations, the generating the initial population of solutions of portfolio allocations including systematically generating the initial population of solutions to substantially cover the space defined by the competing objectives and the plurality of constraints; and generating an efficient frontier in the space based on the initial population, the efficient frontier for use in investment decisioning.

Systems and methods for initial sampling in multi-objective portfolio analysis

A visual interactive multi-criteria decision-making method and computer-based apparatus for portfolio management. The method/apparatus supports partitioning of a portfolio of physical or other assets into two mutually exclusive categories, such as assets recommended for sale and assets recommended for retention. The method/apparatus utilizes one or more coupled 2-D projections of the portfolio in criteria space. The user interacts with the projections to express and record preferences.

Methods and interface for set-partitioning decision support tool

A method of operating a computer system includes storing, in the computer system, a database containing performance measure data regarding performance measures of a plurality of items. The method further includes inputting into the computer system a plurality of performance measure constraints. The method also includes modeling the performance measure constraints with a set of equations. The equations include a plurality of variables. Each of the variables corresponds to a respective one of the items. Each variable is, for example, to be assigned either the value '1' or the value '0'. The value &#x201c;1&#x201d; may represent a recommendation to take an action relative to the corresponding item in the portfolio and the value &#x201c;0&#x201d; may represent a recommendation to take another action. The computer system is used to solve the set of equations to generate one or more solutions that satisfy the performance measure constraints.

System and software for providing recommendations to optimize a portfolio of items

The invention provides systems and methods for determining the allocation of securities in a portfolio. The method includes providing a collection of securities in a portfolio, each security being associated with associated attributes; providing risk factor data related to the portfolio; pooling the securities into a plurality of security clusters based on the attributes associated with each security and the risk factor data, each security being assigned to an security cluster, the pooling being performed using multivariate decision tree processing; processing the security clusters using a nonlinear programming optimizer to generate optimization results; and presenting the optimization results in a risk-return space for determination of a security allocation.

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

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 sequentially comprising: generating a non-dominated solution set in a space; applying a first set of user-specified constraints to reduce the solutions in the non-dominated solution set to a solution subset; and executing a series of local tradeoffs on the solution subset to result in a resulting solution subset, the local tradeoffs being performed in a lower dimension performance space as compared to the space, and the solution subset being used in investment decisioning.

Systems and methods for multi-objective portfolio analysis and decision-making using visualization techniques

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

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: generating an initial population of solutions of portfolio allocations; performing a first multi-objective process, based on the initial population and the competing objectives, to generate a first interim efficient frontier; performing a second multi-objective process, based on the initial population and the competing objectives, to generate a second interim efficient frontier; and fusing the first interim efficient frontier with the second interim efficient frontier to create an augmented efficient frontier for use in investment decisioning.

Systems and methods for multi-objective portfolio optimization

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.

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Niskayuna, NY, United States of America

Kete Chalermkraivuth