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Expected utility maximization in large-scale portfolio optimization
Expected utility maximization in large-scale portfolio optimization
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机译:大规模投资组合优化中的期望效用最大化
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摘要
A system and method efficiently solve the expected utility maximization problem in large-scale financial asset portfolio optimization. The system and method solve the expected utility maximization problem employing a factor representation of asset returns. Additionally, the system and method calibrate the optimization model to a benchmark to obtain unconditional mean returns and enable active management based on conditional expected return predictions. The system and method also enable options to be considered as part of the portfolio.
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