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    • 1. 发明申请
    • PORTFOLIO OPTIMIZATION AND EVALUATION TOOL
    • 组合优化与评估工具
    • US20160019647A1
    • 2016-01-21
    • US14336632
    • 2014-07-21
    • VALIDUS SERVICES (BERMUDA), LTD.
    • Georg Wilhelm Hofmann
    • G06Q40/06G06F17/16
    • A computer system configured to evaluate a portfolio comprising instruments, comprising a computer memory configured to store, for each instrument, an instrument value for each portfolio scenario in an n-dimensional matrix, a first constraint and a second constraint; and a computer processor configured to transpose the n-dimensional matrix, to determine a first solution by maximizing the product of transpose of the n-dimensional matrix and the first constraint, determine whether the first solution is within an accepted range of an acceptable risk, if the expected first solution is not within an accepted range of an acceptable risk, process the second constraint with the first solution to obtain a second solution, and determine whether the second solution is within the accepted range of the acceptable risk.
    • 一种计算机系统,被配置为评估包括仪器的投资组合,包括计算机存储器,被配置为为每个仪器存储n维矩阵中的每个组合场景的仪器值,第一约束和第二约束; 以及计算机处理器,被配置为转置所述n维矩阵,以通过使所述n维矩阵和所述第一约束的转置的乘积最大化来确定第一解,确定所述第一解是否在可接受风险的可接受范围内, 如果预期的第一解决方案不在可接受风险的可接受范围内,则用第一解进行第二约束以获得第二解,并且确定第二解是否在可接受风险的可接受范围内。
    • 3. 发明公开
    • PORTFOLIO OPTIMIZATION AND EVALUATION TOOL
    • 投资组合优化和评估工具
    • EP3166065A1
    • 2017-05-10
    • EP15192857.9
    • 2015-11-04
    • Validus Services (Bermuda) Ltd
    • Hofmann, Georg Wilhelm
    • G06Q40/00
    • G06Q40/06
    • A computer system configured to evaluate a portfolio comprising instruments, comprising a computer memory configured to store, for each instrument, an instrument value for each portfolio scenario in an n-dimensional matrix, a first constraint and a second constraint; and a computer processor configured to transpose the n-dimensional matrix, to determine a first solution by maximizing the product of transpose of the n-dimensional matrix and the first constraint, determine whether the first solution is within an accepted range of an acceptable risk, if the expected first solution is not within an accepted range of an acceptable risk, process the second constraint with the first solution to obtain a second solution, and determine whether the second solution is within the accepted range of the acceptable risk.
    • 计算机系统,其被配置为评估包括仪器的投资组合,所述计算机系统包括计算机存储器,所述计算机存储器被配置为针对每个仪器为n维矩阵,第一约束和第二约束存储每个投资组合情景的工具值; 以及计算机处理器,被配置为转置所述n维矩阵,通过最大化所述n维矩阵的转置乘积和所述第一约束来确定第一解,确定所述第一解是否在可接受风险的可接受范围内, 如果预期的第一解决方案不在可接受风险的可接受范围内,则用第一解决方案处理第二约束以获得第二解决方案,并确定第二解决方案是否在可接受风险的可接受范围内。