# MICHAUD PARTNERS LLP

MICHAUD PARTNERS LLP Patent applications | ||

Patent application number | Title | Published |
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20120246095 | Resampled Efficient Frontiers for Portfolios with Derivative Overlays - Computer-implemented methods for constructing a risk-return optimal allocation to a set of assets, where a subset of the assets is at least partially insured or modified by the addition of derivative securities. The methods entail resampling a plurality of sets of returns consistent with a return distribution for each asset, with at least one asset modified by a derivative overlay, subject to terms of at least one contract requirement. A statistical mean of associated optimal portfolios is established, generating a resampled efficient frontier, on the basis of which a portfolio weight is selected for each asset according to a specified risk objective. | 09-27-2012 |

20120116994 | Dynamic Portfolio Monitoring - Michaud rebalance probabilities are renormalized in the case of successive datasets, historical or simulated, where partial commonality of information is imputed to the two datasets. Two separate sets of optimization inputs correspond to a stochastic process and optimization subject to a set of constraints making the optimization analytically intractable. A subset of data drawn on the basis the first optimization input is recursively replaced with data sampled from the second optimization input, the extent of replacement governed by the extent of common information. A set of rebalance probabilities is calculated, and the L | 05-10-2012 |

20080288420 | Portfolio Optimization by Means of Meta-Resampled Efficient Frontiers - A computer-implemented method and computer program product for selecting a portfolio weight (subject to specified constraints) for each of a plurality of assets of an optimal portfolio. A mean-variance efficient frontier is calculated based on input data characterizing the defined expected return and the defined standard deviation of return of each of the plurality of assets. Multiple sets of optimization inputs are drawn from a distribution of simulated optimization inputs consistent with the defined expected return, the defined standard deviation of return of each of the plurality of assets and then a simulated mean-variance efficient frontier is computed for each set of optimization inputs. A meta-resampled efficient frontier is determined as a statistical mean of associated portfolios among the simulated mean-variance efficient frontiers, and a portfolio weight is selected for each asset from the meta-resampled efficient frontier according to a specified investment objective. The number of simulations and the number of simulation periods is determined on the basis of a specified level of forecast certainty. | 11-20-2008 |