PORTFOLIO OPTIMIZATION USING THE DIVERSIFIED EFFICIENT FRONTIER

摘要

The invention relates to a computer-implemented method for selecting a value of portfolio weight for each of a plurality of assets of a portfolio, each asset having a defined expected return and a defined standard deviation of return, each asset having a covariance with respect to each of every other asset of the plurality of assets, the method may comprise the following steps:a. creating a mean-risk portfolio optimization model/problem to compute the mean-risk efficient frontier based at least on input data characterizing the defined expected return and the defined standard deviation of return of each of the plurality of assets;b. adding a diversification function to the mean-risk portfolio optimization model/problem;c. computing the diversified efficient frontier; andd. selecting a portfolio weight for each asset from the diversified efficient frontier.