Asset portfolio tracking

Details Asset portfolio tracking Asset portfolio tracking

2008-06-03

2008-06-03

Garg, Yogesh C. (Department: 3625)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S035000

Reexamination Certificate

active

07383219

ABSTRACT:
Techniques are provided for adjusting a portfolio of financial assets in order to properly track the performance of a desired index. The techniques generally involve calculating a correlative value for the portfolio, and obtaining a correlative value for the index, relative to each of a number of different factors having data values that are likely to be correlated with an aggregate market value for the portfolio, where the correlative value for an item relative to a given factor is a measure of a tendency of the aggregate market value of the item to change based on a change in the data value for such factor (e.g., in the nature of a sensitivity or elasticity). Then, the portfolio is adjusted in an attempt to move its correlative profile closer to the correlative profile of the index.

REFERENCES:
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patent: 6473084 (2002-10-01), Phillips et al.
patent: 7167838 (2007-01-01), Gatto
patent: 2002/0059126 (2002-05-01), Ricciardi
patent: 2003/0130917 (2003-07-01), Crovetto
Hendricks, Darryl; “Evaluation of Value-at-Risk Models Using Historical Data”, FRBNY Economic Policy Review/Apr. 1996.

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