Abstract: Investment portfolios undergo a calibration procedure to improve their efficiency and stability. Any set of portfolios could be selected for calibration. If said portfolios represent a result of a portfolio optimization or asset allocation, then using original model inputs, an optimization procedure is performed to compute an original efficient frontier and a set of frontier portfolios is selected for calibration. A plurality of random samples of modified optimization inputs based on the original inputs is generated. For each random sample of inputs a modified efficient frontier is computed using the portfolio optimization model with modified inputs. Each portfolio selected for calibration is projected on the modified efficient frontier to create a corresponding modified calibration portfolio. Calibrated portfolio is created by averaging its calibrations. Calibrated efficient frontier is created by averaging all calibration portfolios for each selected portfolio on the original frontier.

Abstract: Described herein are systems and methods for calibrating the efficiency of portfolios for financial optimizations. One exemplary method includes defining a portfolio optimization model, determining original inputs for the model, performing an optimization procedure on each of the at least one model parameter to compute an original efficient frontier, selecting one or more portfolios from the original efficient frontier for calibration, generating a plurality of random samples of optimization inputs based on the original inputs, computing a current efficient frontier using the portfolio optimization model with the optimization inputs, calibrating each of the one or more selected portfolios of the original efficient frontier to create a corresponding calibration portfolio for each selected portfolio and averaging each of the calibration portfolios for each of the selected portfolios of the original efficient frontier, and creating a calibrated efficient frontier report.