Systems and Methods for Portfolio Analysis
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Accused Products
Abstract
In one aspect, the invention comprises a computer-implemented method comprising: (i) electronically receiving data describing one or more risk factors driving volatility of each of a plurality of securities comprised in a specified portfolio; (ii) for each of the plurality of securities, categorizing each of the 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 the security, based on the best fit distributions; and (iii) aggregating the security return distributions to generate a return distribution for in the specified portfolio. Other aspects and embodiments comprise analogous software and computer systems.
3 Citations
69 Claims
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1-39. -39. (canceled)
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40. A computer-implemented method comprising:
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electronically receiving, at a computer processor, data describing one or more risk factors associated with volatility of each of a first plurality of securities in a first portfolio; for each of the first plurality of securities, using a computer processor, categorizing each of said one or more risk factors as a random variable and identifying a distribution that best fits data regarding historical behavior of each of the one or more risk factors; generating a first return distribution based on the best fit distribution; and aggregating the first return distribution for each of the first plurality of securities to generate an aggregated security return for the first portfolio, wherein said aggregating includes aggregating an idiosyncratic return component of the first portfolio. - View Dependent Claims (41, 42, 43, 44, 45, 46, 47, 48, 49)
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50. A non-transitory computer readable storage medium having computer-executable instructions recorded thereon that, when executed on a computer, configure the computer to perform a method comprising:
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electronically receiving data describing one or more risk factors associated with volatility of each of a first plurality of securities in a first portfolio; for each of the first plurality of securities, categorizing each of said one or more risk factors as a random variable and identifying a distribution that best fits data regarding historical behavior of each of the one or more risk factors; and generating a first return distribution based on the best fit distribution; and aggregating the first return distribution for each of the first plurality of securities to generate an aggregated security return for the first portfolio, wherein said aggregating includes aggregating an idiosyncratic return component of the first portfolio. - View Dependent Claims (51, 52, 53, 54, 55, 56, 57, 58, 59)
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60. A system comprising:
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memory operable to store at least one program; and at least one processor communicatively coupled to the memory, in which the at least one program, when executed by the at least one processor, causes the at least one processor to; electronically receive, at a computer processor, data describing one or more risk factors associated with volatility of each of a first plurality of securities in a first portfolio; for each of the first plurality of securities, categorize each of said one or more risk factors as a random variable and identifying a distribution that best fits data regarding historical behavior of each of the one or more risk factors; and generate a first return distribution based on the best fit distribution; and aggregate the first return distribution for each of the first plurality of securities to generate an aggregated security return for the first portfolio, wherein said aggregating includes aggregating an idiosyncratic return component of the first portfolio. - View Dependent Claims (61, 62, 63, 64, 65, 66, 67, 68, 69)
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Specification