NOMINATIVE ADAPTIVE PROGRAMMING FOR A CLASS OF NON-LINEAR MIXED INTEGER PORTFOLIO OPTIMIZATION PROBLEMS

摘要

Apparatus and method for providing an optimal portfolio of assets by substantially maximizing the rate of return for a level of risk, or minimizing the level of risk for a rate of return. The apparatus and method incorporates a precise model formulation (100) whereby short sales are accounted for in the model specification. The apparatus and method also incorporates at the outset a precise model formulation whereby integer constraints (126) are accounted for in the model specification. Finally, the apparatus and method provides a recursive adaptation of the problem structure to unpredictable market conditions, by assuming that the model specification is deterministic rather than stochastic, and creating a directed feedback loop wherein nominative structural changes are put back into the model (130) and revalidated when market conditions deny the execution of the technical solution (132).