| 摘要 |
<P>PROBLEM TO BE SOLVED: To achieve comparatively high expect return to risk ratio with respect to benchmark in particular in combination with the benchmark in a method and a system for selecting and managing portfolio comprising securities. <P>SOLUTION: In one aspect, this method includes a method comprising (a) a process for acquiring data regarding a first group of securities in a first portfolio, (b) a process for identifying a second group of securities to be included in a second portfolio based on the data and on risk characteristics of the first group of securities, and (c) a process for calculating holdings in the second portfolio based on one or more portfolio optimization procedures. In another aspect, this method comprises software for performing the steps described above (as well as steps of other embodiments), and in another aspect, the method comprises one or more computer systems operable to perform those stages. <P>COPYRIGHT: (C)2009,JPO&INPIT |
