发明名称 |
METHOD OF PORTFOLIO VALUATION |
摘要 |
This invention relates to a system and method for valuing a portfolio in ter ms of its performance relative to a specified benchmark under a range of future scenarios. In particular, the invention takes a portfolio and calculates two values related to the portfolio: the first value corresponding to an amount by which the value of the portfolio is expected to fall below the value of a benchmark over a given time horizon, and a second value corresponding to an amount by which the value of the portfolio is expected to exceed the value o f a benchmark over a given time horizon, in view of the range of different future scenarios. The invention provides a means for determining the portfol io which optimally trades-off these two values, and to evaluate risk/reward performance measures using these two values which can be used to rank instruments, securities or portfolios. The invention also provides a means f or pricing portfolio insurance for optimal portfolios.
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申请公布号 |
CA2358959(A1) |
申请公布日期 |
2001.05.31 |
申请号 |
CA20002358959 |
申请日期 |
2000.11.24 |
申请人 |
ALGORITHMICS INTERNATIONAL CORP. |
发明人 |
MAUSSER, HELMUT;DEMBO, RON |
分类号 |
G06F19/00;G06Q40/06;(IPC1-7):G06F17/60;G06F17/00 |
主分类号 |
G06F19/00 |
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