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    • 9. 发明申请
    • Systems and methods for multi-objective portfolio analysis using dominance filtering
    • 使用优势过滤的多目标投资组合分析的系统和方法
    • US20050187845A1
    • 2005-08-25
    • US10781804
    • 2004-02-20
    • Neil Holger EklundSrinivas BollapragadaPiero BonissoneKete ChalermkraivuthNaresh IyerRajesh Subbu
    • Neil Holger EklundSrinivas BollapragadaPiero BonissoneKete ChalermkraivuthNaresh IyerRajesh Subbu
    • G06Q40/00G06F17/60
    • G06Q40/06
    • The systems and methods of the invention are directed to portfolio optimization and related techniques. For example, the invention provides a method for multi-objective portfolio optimization for use in investment decisions based on competing objectives and a plurality of constraints constituting a portfolio problem in a space, the method comprising: generating a set of solutions of portfolio allocations in the space, the space having a plurality of dimensions; selecting a first dimension from the plurality of dimensions, the first dimension being a dimension under consideration; dividing the space into bins based on each dimension in the plurality of dimensions other than the dimension under consideration; determining a respective point in each bin with the most extreme value in the dimension under consideration; determining, based on the point in each bin with the most extreme value, whether other points in the space are dominant or dominated; and removing the dominated points from further consideration, so as to result in a reduced set of solutions, the reduced set of solutions being used in investment decisioning.
    • 本发明的系统和方法针对组合优化和相关技术。 例如,本发明提供了一种用于多目标投资组合优化的方法,用于基于竞争目标的投资决策和构成空间中的投资组合问题的多个约束,所述方法包括:生成一组投资组合分配解决方案 所述空间具有多个尺寸; 从所述多个维度中选择第一维度,所述第一维度是所考虑的维度; 基于所考虑的维度以外的多个维度中的每个尺寸将空间分成箱体; 在所考虑的维度中确定每个仓库中具有最高极值的相应点; 根据每个仓库中具有最高极值的点确定空间中的其他点是否占主导地位或主导地位; 从进一步的考虑中消除支配地位,从而减少一套解决方案,减少投资决策中使用的一套解决方案。