FINANCIAL ADVISORY SYSTEM
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Abstract
A financial advisory system is provided. According to one aspect of the present invention, return scenarios for optimized portfolio allocations are simulated interactively to facilitate financial product selection. Return scenarios for each asset class of a plurality of asset classes are generated based upon estimated future scenarios of one or more economic factors. A mapping from each financial product of an available set of financial products onto one or more asset classes of the plurality of asset classes is created by determining exposures of the available set of financial products to each asset class of the plurality of asset classes. In this way, the expected returns and correlations of a plurality of financial products are generated and used to produce optimized portfolios of financial products. Return scenarios are simulated for one or more portfolios including combinations of financial products from the available set of financial products based upon the mapping.
97 Citations
40 Claims
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1-24. -24. (canceled)
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25. A method comprising:
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identifying a relationship between returns of each financial product of a set of financial products that are available to a particular investor for investment and returns of combinations of one or more factor asset classes of a set of factor asset classes by performing an exposure analysis on each financial product of the set of financial products; one or more processors determining expected returns and volatility of returns for each of a plurality of efficient portfolios based upon the relationship, each of the plurality of efficient portfolios including a combination of one or more of the financial products from the set of financial products; and
identifying a recommended portfolio of the plurality of efficient portfolios by selecting an efficient portfolio of the plurality of efficient portfolios that maximizes an expected utility of wealth for the particular investor. - View Dependent Claims (26, 27, 28, 29, 30, 31, 32, 33)
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34. A computer-readable storage medium containing a set of instructions capable of causing one or more processors to:
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identify a relationship between returns of each financial product of a set of financial products that are available to a particular investor for investment and returns of combinations of one or more factor asset classes of a set of factor asset classes by performing an exposure analysis on each financial product of the set of financial products; determine expected returns and volatility of returns for each of a plurality of efficient portfolios based upon the relationship, each of the plurality of efficient portfolios including a combination of one or more of the financial products from the set of financial products; and identify a recommended portfolio of the plurality of efficient portfolios by selecting an efficient portfolio of the plurality of efficient portfolios that maximizes an expected utility of wealth for the particular investor.
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35-36. -36. (canceled)
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37. A method comprising:
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a step for identifying a relationship between returns of each financial product of a set of financial products that are available to a particular investor for investment and returns of combinations of one or more factor asset classes of a set of factor asset classes; a step for determining expected returns and volatility of returns for each of a plurality of efficient portfolios based upon the relationship, each of the plurality of efficient portfolios including a combination of one or more of the financial products from the set of financial products; and a step for identifying a recommended portfolio of the plurality of efficient portfolios. - View Dependent Claims (38)
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39. A method comprising:
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forecasting returns associated with each core asset class of a set of core asset classes by generating core asset class scenarios based upon future scenarios of one or more economic factors with an equilibrium econometric model; one or more processors forecasting returns associated with each factor asset class of a set of factor asset classes by generating factor model asset scenarios based upon the core asset class scenarios; identifying a relationship between future returns of each financial product of a set of financial products that are available to a particular investor for investment and future returns of combinations of one or more factor asset classes of the set of factor asset classes by determining each financial product'"'"'s effective asset mix with respect to the set of factor asset classes;
determining expected returns and volatility of returns for each of a plurality of efficient portfolios based upon the relationship, each of the plurality of efficient portfolios including a combination of one or more of the financial products from the set of financial products; andidentifying a recommended portfolio of the plurality of efficient portfolios by selecting an efficient portfolio of the plurality of efficient portfolios that maximizes an expected utility of wealth for the particular investor.
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40. A computer-readable storage medium containing a set of instructions capable of causing one or more processors to:
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forecast returns associated with each core asset class of a set of core asset classes by generating core asset class scenarios based upon future scenarios of one or more economic factors with an equilibrium econometric model;
forecast returns associated with each factor asset class of a set of factor asset classes by generating factor model asset scenarios based upon the core asset class scenarios;identify a relationship between future returns of each financial product of a set of financial products that are available to a particular investor for investment and future returns of combinations of one or more factor asset classes of the set of factor asset classes by determining each financial product'"'"'s effective asset mix with respect to the set of factor asset classes;
determine expected returns and volatility of returns for each of a plurality of efficient portfolios based upon the relationship, each of the plurality of efficient portfolios including a combination of one or more of the financial products from the set of financial products; andidentify a recommended portfolio of the plurality of efficient portfolios by selecting an efficient portfolio of the plurality of efficient portfolios that maximizes an expected utility of wealth for the particular investor.
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Specification