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Diversification measurement and analysis system

  • US 8,156,030 B2
  • Filed: 04/03/2009
  • Issued: 04/10/2012
  • Est. Priority Date: 04/03/2008
  • Status: Active Grant
First Claim
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1. A system for measuring the diversification of a portfolio comprising:

  • a computer processor;

    wherein said processor;

    (i) receives, as input, a portfolio comprising a plurality of assets;

    (ii) weights each of the plurality of assets within the portfolio according to an investment value allocated to each of said assets;

    (iii) defines a relationship between each of the plurality of assets by correlating each of the plurality of assets within the portfolio;

    (iv) models the portfolio in a geometric space by stretching a vector length associated with each of said plurality of assets in the portfolio in proportion to its concentration and contribution to the portfolio while retaining a set of orientations associated with said correlating step;

    (v) determines a polytope based on the modeling step associated with the portfolio; and

    (vi) compares said polytope to a symmetrical model to determine a diversification value;

    wherein the polytope represents the portfolio whose assets are associated with the vector lengths which are stretched in the modeling step.

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