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SYSTEMS AND METHODS FOR PORTFOLIO ANALYSIS

  • US 20090112774A1
  • Filed: 07/02/2008
  • Published: 04/30/2009
  • Est. Priority Date: 10/24/2007
  • Status: Active Grant
First Claim
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1. A computer-implemented method comprising:

  • electronically receiving data describing one or more risk factors driving volatility of each of a plurality of securities comprised in a specified portfolio;

    for each of said plurality of securities;

    categorizing each of said risk factors as a random variable and identifying a distribution that best fits each risk factor'"'"'s historical behavior; and

    generating a return distribution for said security, based on said best fit distributions; and

    aggregating said security return distributions to generate a return distribution for said specified portfolio.

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