Method of determining optimal asset allocation utilizing asset c

Details Method of determining optimal asset allocation utilizing asset c Method of determining optimal asset allocation utilizing asset c

1998-01-30

2000-04-25

MacDonald, Allen R.

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

Automated electrical financial or business practice or...

Finance

G06F 1760

Patent

active

060555173

ABSTRACT:
A method of simulating future cash flow for a given asset allocation under a variety of economic conditions, measuring the frequency of failure of the cash flow to avoid one or more predefined risks. Assigning user-selected weights to avoidance of specified risks and alternative user-selected weights to maximization of rate of return, the invention utilizes the cash flow simulation to produce a performance index. By methodological testing through asset allocation adjustments, the optimum performance index is determined, thereby identifying the optimum asset allocation.

REFERENCES:
patent: 5812988 (1998-09-01), Sandretto
IBM (Dick Shareshian), Funds Allocation System, The Funds Management Group, Inc., 1985.
Ranftle et al., Helping Employees Invest Wisely, HRMagazine, Nov. 1993.

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