FINANCIAL PORTFOLIO RISK MANAGEMENT

专利名称：FINANCIAL PORTFOLIO RISK MANAGEMENT发明人：BERNHARDT, Mark申请号：EP02740908.5申请日：20020625公开号：EP1407402A1公开日：20040414

摘要：A method for selecting a portfolio w consisting of N assets of prices pi eachhaving a history of T+1 returns at time intervals i, (uncompounded returns over theprevious t time steps) comprising the steps of;

a) defining a series of vectors p1, p2 to pT+1 to represent the price increments p forportfolio w for a given number of time steps t over a period T+1;b) optionally removing any deterministic trends identified in step a);

c) calculating using support vector algorithms a linear combination of the vectorsdefined in step b), of maximal length and which is as near as possible perpendicular toeach vector pi in the series for optimal alpha parameters between C- and C+

d) defining the portfolio w by the expression: Some suitable algorithms and constraintsfor the algorithms are proposed.

申请人：Qinetiq Limited

地址：85 Buckingham Gate London, SW1E 6PD GB

国籍：GB

代理机构：Bowdery, Anthony Oliver

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