Real life implementation of modern portfolio theory (MPT) for financial planning and portfolio management

摘要

An investment portfolio management method for rebalancing an investor's securities portfolio based on the specified investment parameters is provided. The method utilizes a conventional mean-variance efficient portfolio frontier analysis, which is often cited in Modern Portfolio Theory (MPT), one of the major scholarly developments in modern finance, finds its way into actual rebalancing the investor's security portfolio. A new way of constructing market portfolio is also suggested. The method offers an automatic, mathematical solution for asset allocation and cash management in real time, while managing and trading on portfolios of each asset class, e.g. commercial papers, repurchase agreements, money market funds, bonds, stocks, mutual funds, and other derivatives on an automatic mode.