The invention provides systems and methods for determining the allocation of securities in a portfolio. The method includes providing a collection of securities in a portfolio, each security being associated with associated attributes; providing risk factor data related to the portfolio; pooling the securities into a plurality of security clusters based on the attributes associated with each security and the risk factor data, each security being assigned to an security cluster, the pooling being performed using multivariate decision tree processing; processing the security clusters using a nonlinear programming optimizer to generate optimization results; and presenting the optimization results in a risk-return space for determination of a security allocation.

Methods and systems for analytical-based multifactor multiobjective portfolio risk optimization

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, the method comprising: generating an initial population of solutions of portfolio allocations; performing a first multi-objective process, based on the initial population and the competing objectives, to generate a first interim efficient frontier; performing a second multi-objective process, based on the initial population and the competing objectives, to generate a second interim efficient frontier; and fusing the first interim efficient frontier with the second interim efficient frontier to create an augmented efficient frontier for use in investment decisioning

Systems and methods for multi-objective portfolio optimization

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, the method comprising: performing a first multi-objective optimization process, based on competing objectives, to generate an efficient frontier of possible solutions; observing the generated efficient frontier; based on the observing, identifying an area of the efficient frontier in which there is a gap; and effecting a gap filling process by which the efficient frontier is supplemented in the area of the gap, the efficient frontier being used in investment decisioning.

Systems and methods for efficient frontier supplementation in multi-objective portfolio analysis

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, the method comprising: generating an initial population of solutions of portfolio allocations; committing the initial population of solutions to an initial population archive; performing a multi-objective process, based on the initial population archive and on multiple competing objectives, to generate an efficient frontier, the multi-objective process including a evolutionary algorithm process, the evolutionary algorithm process utilizing a dominance filter, the efficient frontier being used in investment decisioning.

Systems and methods for multi-objective portfolio analysis using pareto sorting evolutionary algorithms

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, the method sequentially comprising: generating a non-dominated solution set in a space; applying a first set of user-specified constraints to reduce the solutions in the non-dominated solution set to a solution subset; and executing a series of local tradeoffs on the solution subset to result in a resulting solution subset, the local tradeoffs being performed in a lower dimension performance space as compared to the space, and the solution subset being used in investment decisioning.

Systems and methods for multi-objective portfolio analysis and decision-making using visualization techniques

Aspects of a stable value product and a total return swap are combined to provide for coordinated investment. A rate based on LIBOR on the amount of the swap plus a percentage is paid in exchange for the total returns on a specified index and a fee is paid in exchange for the stable value. Balances and amounts due are periodically computed and payments of a net difference are made.

Method and system for providing enhanced stable value

Separate accounts of life insurance carriers receive premiums for company owned life insurance (COLI). The premiums are invested in a stable value fund along with net premiums from other separate accounts. The stable value fund enters into a derivative contract with a stable value provider. The stable value fund calculates and reports book value of the investments to the separate accounts, which report the book value to the policy holders. The separate account investors share in the potential risk and reward from early withdrawals by other fund investors.

Method and system for providing stable value

This invention relates to a method for reducing risk associated with a withdrawal from an investment by determining an amount related to a liability or asset associated with the withdrawal and incorporating at least a portion of the amount into other liabilities or assets related to the investment. Further, the absolute value of the amount is amortized. Therefore, the effects of multiple withdrawals are balanced and reduced with time, thereby reducing the overall risk associated with withdrawals. Accordingly, withdrawals can occur more frequently, and a more liquid investment structure is provided.

Investment structure and method for reducing risk associated with withdrawals from an investment

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Method and system for providing enhanced stable value

Method and system for providing stable value

Investment structure and method for reducing risk associated with withdrawals from an investment