Method of evaluating long-term average portfolio risk and...

Details Method of evaluating long-term average portfolio risk and... Method of evaluating long-term average portfolio risk and...

2005-01-25

2005-01-25

Patel, Jagdish (Department: 3624)

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

Automated electrical financial or business practice or...

Finance

C705S035000, C705S037000

Reexamination Certificate

active

06847944

ABSTRACT:
A method of evaluating long-term average portfolio risk and return for a cyclical corporation includes the steps of obtaining historical pricing information for financial instruments used for a relevant historical period and dividing the relevant historical period up into time segments. The method also includes calculating a gain or loss for each financial instrument in a portfolio for the time segments over the relevant historical period and obtaining actual cash level for each time segment and dividing up the actual cash level of the corporation between asset classes to determine what the portfolio is invested in. The method further includes the steps of determining an average return and risk for a typical one of the time segments over the historical period and using an optimization framework to pick out the most efficient portfolios in risk versus return.

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Black et al.; “Global Portfolio Optimization”, Financial Analysts Journal; Sep./Oct. 1992; ABI/INFORM Global, p. 28.*
Nawrocki, David N; Apocalypse Revisited: Do You Know Where Your OPtimizer Is at Night?, Journal of Financial Planning; Dec. 1996; ABI/INFORM Global, p. 68.

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