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Portfolio rebalancing by means of resampled efficient frontiers
| Details |
Inventors: Michaud, Robert; Michaud, Richard O.;
Assignee: Michaud Partners, LLP (Boston, MA)
Primary Examiner: Kazimi; Hani
Assistant Examiner: Subramanian; Narayanswamy
Attorney, Agent or Firm: Bromberg & Sunstein LLP
A method for evaluating statistical congruence of an existing or putative portfolio with a target portfolio, both the current portfolio and the target portfolio having a plurality of assets. A mean-variance efficient portfolio is computed for a plurality of simulations of input data statistically consistent with an expected return and expected standard deviation of return, and each such portfolio is associated, by means of an index, with a specified portfolio on the mean variance efficient frontier. The number of simulations and the number of simulations periods is specified on the basis of a specified information correlation value. A statistical mean of the index-associated mean-variance efficient portfolios is used for evaluating a portfolio, in accordance with a specified balancing test, for statistical consistency with a specified risk objective and, additionally, for defining investment-relevant allocation ranges of portfolio weights. |
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DETAILED DESCRIPTION In accordance with preferred embodiments of the present invention, a method is provided for selecting a value of a portfolio weight for each of a plurality of assets of an optimal portfolio, wherein the selected value of portfolio weight is chosen from specified values associated with each asset, between real numbers c1 and c2 that may vary by asset, for the plurality of assets.
Each asset has a defined expected return and a defined standard deviation of return, and a covariance with respect to each of every other asset of the plurality of assets.
The method has the steps of: a.
computing a mean-variance efficient frontier portfolio based at least on input data characterizing the defined expected return and the defined standard deviation of return of each of the plurality of assets; b.
generating a plurality of optimization inputs consistent with the defined expected return, the defined standard deviation of return of each of the plurality of assets, and forecast certainty of the input data; c.
computing a simulated mean-variance efficient portfolio for each of the plurality of optimization inputs; d.
associating each mean-variance efficient portfolio with a specified and indexed set of portfolios for creating a set of identical-index-associated mean-variance efficient portfolios; e.
establishing a statistical mean for each set of identical-index-associated mean-variance efficient portfolios, thereby generating a plurality of statistical means, the plurality of statistical means defining a resampled efficient frontier; f.
selecting a portfolio weight for each asset from the resampled efficient frontier associated with a forecast certainty level according to a specified risk objective; and g.
investing funds in accordance with the specified portfolio weights.
In accordance with further embodiments of the invention, the step of generating a plurality of optimization inputs may include resampling a plurality of simulations of input data or may include drawing optimization input parameters from a distribution of simulated optimization inputs
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Finance 
