Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2003-08-04
2008-08-19
Kramer, James (Department: 3693)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
Reexamination Certificate
active
07415433
ABSTRACT:
A method and a system for evaluating at least one of a risk, safety and efficiency property of a portfolio belonging to a class of one of a probability density and a probability distribution, for a given time frame are provided. The method comprises: obtaining portfolio pricing data over said given time frame; obtaining at least one benchmark Xb; with respect to investment returns, fitting one of a stochastic investment class over said given time frame in relation to said benchmark Xbby obtaining a location parameter a, a scale parameter b and other corresponding shape parameters; and an empirical investment class over said given time frame in relation to said benchmark Xb; determining a mean return value Xmand a standard deviation σxusing said class; graphically illustrating said portfolio in relation to said benchmark Xbusing said return value Xmand said standard deviation σxon an investment chart; determining for said portfolio by using properties of said class a solution to (Xm−Xb)=[(ES−Xb)·α]+[(EP−Xb)·γ]=I′S+I′P; graphically illustrating at least one said component of said expression (Xm−Xb), in the form of a topographical map on said investment chart using said benchmark Xb.
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Borlinghaus Jason
Kramer James
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