The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Dec. 29, 2009
Filed:
Mar. 19, 2003
Kete Charles Chalermkraivuth, Niskayuna, NY (US);
Anindya Chakraborty, Schenectady, NY (US);
Michael Craig Clark, Glen Ellyn, IL (US);
Richard Paul Messmer, Rexford, NY (US);
Kete Charles Chalermkraivuth, Niskayuna, NY (US);
Anindya Chakraborty, Schenectady, NY (US);
Michael Craig Clark, Glen Ellyn, IL (US);
Richard Paul Messmer, Rexford, NY (US);
General Electric Company, Niskayuna, NY (US);
Abstract
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.