Portfolio rebalancing by means of resampled efficient frontiers with forecast confidence level

A computer-implemented method for selecting a value of a portfolio weight for each of a plurality of assets of an optimal portfolio, the value of portfolio weight chosen from specified values associated with each asset, between real numbers c1 and c2 that may vary by asset, each asset having a defined expected return and a defined standard deviation of return, each asset having a covariance with respect to each of every other asset of the plurality of assets, the method comprising:

• a. computing a mean-variance efficient frontier 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. indexing a set of portfolios located on the mean-variance efficient frontier thereby creating an indexed set of portfolios;
• c. choosing a forecast certainty level for defining a resampling process of the input data consistent with an assumed forecast certainty of the input data;
• d. defining a resampling process of the input data consistent with the chosen forecast certainty of the input data;
• e. resampling, in accordance with the process defined by the forecast certainty level, a plurality of simulations of input data statistically consistent with the defined expected return and the defined standard deviation of return of each of the plurality of assets;
• f. computing a simulated mean-variance efficient portfolio for each of the plurality of simulations of input data;
• g. associating each simulated mean-variance efficient portfolio with a specified portfolio of the indexed set of portfolios for creating a set of identical-index-associated mean-variance efficient portfolios;
• h. 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,
• wherein processes (a), (b), and (d)-(g) are digital computer processes;
• i. selecting a portfolio weight for each asset from the resampled efficient frontier according to a specified utility objective;
• and
• j. investing funds in accordance with the selected portfolio weights.