| 摘要 |
The question of how much should be placed at risk on a given investment, relative to the total assets available for investment, is basically that of determining the optimal leverage. The approach taken by the method described in this specification is to optimize the expected future inverse assets, conditioned on having some forecast distribution of the future return on assets. The expected inverse assets is shown to outperform the Kelly Criterion, an existing well known method for calculating optimal leverage, using a simple cross evaluation method, whereby the optimum leverage according to one method is measured using the other method's utility function. The expected inverse assets measure outperforms the Kelly Criterion in the two analytic scenarios considered, a Gaussian distribution of log-returns and a Bernoulli distribution of linear returns. Example usage of the expected inverse asset utility or objective function is provided by the specification of a system of processing histograms that represent the forecast return distributions of investments. It is also shown how this system can be applied specifically to leveraging with market equities, leveraging with debt, leveraging in insurance, and leveraging in a retirement portfolio. |
| 主权项 |
1. An improved financial portfolio leverage planning process is claimed
wherein the process takes account of information to produce a leverage plan; wherein a financial portfolio is defined as a list of investments along with a vector of leverages, called a leverage vector, to specify the amount of each investment; wherein an investment is defined here as money placed under risk with the hopes of a positive return on the amount invested, and investments are distinguished from one another by one or more cohesive factors; wherein the claimed process above is comprised of the following elements:
any method, such as one exemplified in Section 3.2.2, to produce a forecast of the instantaneous return distribution of an investment;any process of computation of a single portfolio-wide instantaneous forecast return distribution, such as one exemplified in Section 3.2.3, carried out by a computation device, from forecasts of all the investment components of a leverage-vector-weighted portfolio, and possibly including any regular interest payments and inflow or outflow of cash;and any numerical variable optimization algorithm, such as one applicable by a person of average skill in the field of numerical optimization, to determine, within a given, possibly iterated time limit, an optimized portfolio leverage vector to invest by minimizing the expected inverse assets of the portfolio, given the portfolio-wide instantaneous forecast return distribution for any leverage vector and net inflow of cash after interest;wherein the claimed improvement is:
minimization by the optimization algorithm of the newly derived expected-inverse-asset objective function, to achieve reduced risk in the form of having a low probability of having nearly zero assets available to invest, via optimized modification of the leverage vector of the portfolio. |
