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SYSTEM AND METHOD FOR RISK MANAGEMENT AND PORTFOLIO OPTIMIZATION

  • US 20140317019A1
  • Filed: 03/14/2014
  • Published: 10/23/2014
  • Est. Priority Date: 03/14/2013
  • Status: Abandoned Application
First Claim
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1. A processor-based system for portfolio management, the system comprising:

  • a first tangible, non-transitory storage medium adapted to store sets of time series of financial data for a predefined group of investment assets, the sets of time series spanning a set of predefined time periods;

    a second tangible, non-transitory storage medium adapted to store information identifying assets in an investment portfolio;

    one or more processors operatively coupled to the first tangible, non-transitory storage medium to access the sets of time series of financial data and to the second tangible, non-transitory storage medium to access the information identifying assets in the investment portfolio, the one or more processors being adapted to;

    compute a plurality of relationship characteristics with respect to the financial data for the predefined group of investment assets, with each relationship characteristic of the plurality of relationship characteristics corresponding to a time period of the plurality of predefined time periods;

    compute pair-wise similarity measures between each of the relationship characteristics;

    determine groupings of similar relationship characteristics using the pair-wise similarity measures in order to define a plurality of states; and

    evaluate the investment portfolio in at least one of the plurality of states by computing a performance measure based on the financial data time series for each asset in the investment portfolio in the at least one state of the plurality of states.

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