发明名称 |
DIVERSIFICATION MEASUREMENT AND ANALYSIS SYSTEM |
摘要 |
This disclosure details methods for measuring and analyzing diversification of portfolio of assets. A dimension is a logical and quantitative means to measure diversification. As the number of dimensions increases so does diversification. Strong asset correlations among each other detract from the notion of independence. A positive correlation increases risks and is therefore undesirable. Assets are embedded into a high dimensional Euclidean vector space. The entire portfolio is interpreted as a set of points whose ambient dimension is the number of assets in the portfolio. The Karhunen-Loève expansion is used to quantify the KL dimension of the geometric object induced by a portfolio. The associated dimension is taken as the measure of diversification accounts for both the number of assets and the commonality within them. This ensures that measuring diversification as a dimension accounts for the complete diversification affect of the portfolio and is thus a valuable portfolio management tool.
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申请公布号 |
US2009292648(A1) |
申请公布日期 |
2009.11.26 |
申请号 |
US20090417713 |
申请日期 |
2009.04.03 |
申请人 |
DAMSCHRODER JAMES ERIC;LADD JOSH SAMUEL |
发明人 |
DAMSCHRODER JAMES ERIC;LADD JOSH SAMUEL |
分类号 |
G06Q40/00 |
主分类号 |
G06Q40/00 |
代理机构 |
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地址 |
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