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Nominative adaptive programming for a class of non-linear mixed integer portfolio optimization problems
Nominative adaptive programming for a class of non-linear mixed integer portfolio optimization problems
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机译：一类非线性混合整数投资组合优化问题的名义自适应规划
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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).
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