System and Method for Visualization of Results of Multi-Criteria Financial Optimizations

Abstract

Described is a system including a memory arrangement and a processor for graphically representing in a space data representing at least one portfolio. The memory arrangement stores a Multi-Criteria Financial Optimization (“MCFO”). The processor solves the MCFO to generate data corresponding to a set of portfolios. The processor selects vertex points corresponding to a set of components of the portfolios. The processor defines coordinates of the vertices on a chart and plots the vertices as points on the chart. The processor defining a projection vector-function using coordinates of the vertices and selecting a subset of the portfolios on the chart. The processor computing coordinates for the portfolios in the subset using the projection vector-function and a weighting corresponding to the portfolios. The processor plotting points corresponding to the portfolios in the subset on the chart using the computed coordinates.

1 - 21 . (canceled) 
     
     
         22 . A system for determining graphic coordinates in a space corresponding to data representing at least one portfolio, comprising:
 a memory arrangement storing a Multi-Criteria Financial Optimization (“MCFO”); and   a processor solving the MCFO based on at least one input condition to generate data corresponding to a set of portfolios, the processor selecting vertex points corresponding to a set of components of the portfolios, the processor defining coordinates of the vertices on a chart, the processor defining a projection vector-function using coordinates of the vertices and selecting a subset of the portfolios on the chart, the processor computing coordinates for the portfolios in the subset using the projection vector-function and a weighting corresponding to the portfolios.   
     
     
         23 . The system according to  claim 22 , wherein the space is one of 2D and 3D. 
     
     
         24 . The system according to  claim 22 , wherein the chart is one of 2D and 3D. 
     
     
         25 . The system according to  claim 24 , wherein when the chart is 2D, the coordinates are X-Y coordinates, and when the chart is 3D, the coordinates are X-Y-Z coordinates. 
     
     
         26 . The system according to  claim 22 , wherein the processor defines the MCFO to include an objective function and at least one constraint. 
     
     
         27 . The system according to  claim 22 , wherein the subset includes all of the portfolios in the set of portfolios. 
     
     
         28 . The system according to  claim 22 , wherein the subset includes less than all of the portfolios in the set of portfolios. 
     
     
         29 . The system according to  claim 22 , wherein each point includes at least one of a symbol and a line. 
     
     
         30 . The system according to  claim 22 , wherein each point has at least one of a predetermined size and a color which corresponds to a characteristic of a corresponding one of the portfolios. 
     
     
         31 . The system according to  claim 22 , wherein the MCFO is one of an Asset Allocation model and a Portfolio Optimization model. 
     
     
         32 . The system according to  claim 22 , wherein the projection vector-function is a linear function of portfolio weights. 
     
     
         33 . The system according to  claim 22 , wherein the projection vector-function represents a matrix with each column consisting of coordinates of the vertices. 
     
     
         34 . The system according to  claim 22 , wherein the projection vector-function is a non-linear function. 
     
     
         35 . A method for determining graphic coordinates in a space corresponding to data representing at least one portfolio, comprising the steps of:
 solving a Multi-Criteria Financial Optimization (“MCFO”) based on at least one input condition to generate data corresponding to a set of portfolios; selecting vertex points corresponding to a set of components of the portfolios;   defining coordinates of the vertices on a chart; defining a projection vector-function using coordinates of the vertices; selecting a subset of the portfolios for projection on the chart; and   computing coordinates for the portfolios in the subset using the projection vector-function and a weighting corresponding to the portfolios.   
     
     
         36 . The method according to  claim 35 , wherein the space is one of 2D and 3D. 
     
     
         37 . The method according to  claim 35 , wherein the chart is one of 2D and 3D. 
     
     
         38 . The method according to  claim 36 , wherein when the chart is 2D, the coordinates are X-Y coordinates, and when the chart is 3D, the coordinates are X-Y-Z coordinates. 
     
     
         39 . The method according to  claim 35 , further comprising the step of: defining the MCFO to include an objective function and at least one constraint. 
     
     
         40 . The method according to  claim 35 , wherein the subset includes all of the portfolios in the set of portfolios. 
     
     
         41 . The method according to  claim 35 , wherein the subset includes less than all of the portfolios in the set of portfolios. 
     
     
         42 . The method according to  claim 35 , wherein each point includes at least one of a symbol and a line. 
     
     
         43 . The method according to  claim 35 , wherein each point has at least one of a predetermined size and a color which corresponds to a characteristic of a corresponding one of the portfolios. 
     
     
         44 . The method according to  claim 35 , wherein the projection vector-function is a linear function of portfolio weights. 
     
     
         45 . The method according to  claim 35 , wherein the projection vector-function represents a matrix with each column consisting of coordinates of the vertices. 
     
     
         46 . The method according to  claim 35 , wherein the projection vector-function is a non-linear function. 
     
     
         47 . A computer-readable storage medium containing a set of instructions executable by a processor, the set of instructions comprising:
 solving a Multi-Criteria Financial Optimization (“MCFO”) based on at least one input condition to generate data corresponding to a set of portfolios; selecting vertex points corresponding to a set of components of the portfolios;   defining coordinates of the vertices on a chart; defining a projection vector-function using coordinates of the vertices;   selecting a subset of the portfolios for projection on the chart; and   computing coordinates for the portfolios in the subset using the projection vector-function and a weighting corresponding to the portfolios.