Methods and systems for providing an anti-benchmark portfolio

Details Methods and systems for providing an anti-benchmark portfolio Methods and systems for providing an anti-benchmark portfolio

2011-06-07

2011-06-07

Hammond, III, Thomas M (Department: 3695)

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

Automated electrical financial or business practice or...

Finance

Reexamination Certificate

active

07958038

ABSTRACT:
In one aspect, the invention comprises a method comprising: (a) acquiring data regarding a first group of securities in a first portfolio; (b) based on said data and on risk characteristics of said first group of securities, identifying a second group of securities to be included in a second portfolio; and (c) calculating holdings in said second portfolio based on one or more portfolio optimization procedures. In another aspect, the invention comprises software for performing the steps described above (as well as steps of other embodiments), and in another aspect, the invention comprises one or more computer systems operable to perform those steps.

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Fernholz, R.,Portfolio Generating Functions, INTECH, Jun. 2, 1998, pp. 1-19.
Fernholz, R.;Stock Market Diversity, INTECH, Jan. 31, 2005, pp. 1-11.

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