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SYSTEM AND METHOD FOR CONSRUCTING OUTPERFORMING PORTFOLIOS RELATIVE TO TARGET BENCHMARKS
SYSTEM AND METHOD FOR CONSRUCTING OUTPERFORMING PORTFOLIOS RELATIVE TO TARGET BENCHMARKS
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机译：相对于目标基准构建优于组合的系统和方法
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摘要
The system and method described herein may be used to construct outperforming portfolios relative to target benchmarks. In particular, the system and method described herein may use multi-factor models that employ multi-objective evolutionary algorithms and mean variance optimization calculations to select constituents from a target benchmark index to include in a portfolio. The selected constituents may then be weighed to construct or rebalance the portfolio in a manner that can consistently outperform the target benchmark index while satisfying real-world constraints that relate to turnover limits, minimum and maximum stock positions, cardinalities, target market capitalizations, investment strategies, and other characteristics associated with the portfolio.
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