Method and system for constructing approximate minimum variance portfolios

摘要

A computer-based method for construction portfolios, including: populate an initial estimated portfolio covariance matrix; generate initial configurations by populating covariance matrices with randomly selected assets; determine scores for the initial configurations; calculate a first statistical function for the scores; select an initial configuration satisfying a criterion regarding the statistical function; generate iteration configurations by successively replacing one asset with a randomly selected asset; determining a score for each iteration configuration; calculate a second statistical function of the scores; calculate a statistical function of the first and second statistical functions; select a starting cooled configuration; generate modified cooled configurations by replacing one asset when a score for the modified cooled configuration satisfies a criterion; and when a score for a modified cooled configuration satisfies a criterion, save, in a memory unit, the assets and weights of dividend factors of assets for the cooled configuration as a recommended set of assets.