| 摘要 |
The present invention provides for maintaining an absolute risk level for an investment portfolio while minimizing trading necessary to do so. Fig. 1is a networked computer system [100] that can be used to practice some embodiments of the invention. The system includes one or more networks [102], one or more investor computers [104], one or more broker computers [106], one or more market information databases, and one or more trading utilities. A portfolio of long and short position assets can be obtained that is approximately logarithmic, in the sense that the value of the portfolio varies in constant proportion to a fractional change in a level of a market. When the market level changes by a specified degree, asset holdings can be adjusted as necessary to the maintain the portfolio as being approximately logarithmic, and total holdings can be adjusted as necessary to maintain a specified level of risk. |
