Inventors:
Kete Charles Chalermkraivuth - Niskayuna NY, US
Srinivas Bollapragada - Niskayuna NY, US
Piero Patrone Bonissone - Schenectady NY, US
Michael Craig Clark - Glen Ellyn IL, US
Neil Holger White Eklund - Clifton Park NY, US
Naresh Sundaram Iyer - Clifton Park NY, US
Rajesh Venkat Subbu - Clifton Park NY, US
Assignee:
General Electric Company - Niskayuna NY
International Classification:
G06Q 40/00
US Classification:
705 35, 705 7, 705 10, 705 36 R, 708130, 708131, 708132, 708134, 434107, 434108, 434191, 434211
Abstract:
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.