Minimizing security holdings risk during portfolio trading

Details Minimizing security holdings risk during portfolio trading Minimizing security holdings risk during portfolio trading

2011-03-08

2011-03-08

Weisberger, Richard C (Department: 3693)

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

Automated electrical financial or business practice or...

Finance

Reexamination Certificate

active

07904365

ABSTRACT:
A method and computer program product for minimizing short-term risk to a portfolio of securities holdings during implementation of executing an outstanding trade list of securities to be traded, takes into account covariances between securities in the outstanding trade list and between securities in the outstanding trade list and securities in the portfolio of holdings so as to minimize risk to the portfolio of holdings as well as to a residual trade list of unexecuted orders during said implementation.

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“A Simplified Model for Portfolio Analysis”, William F. Sharpe,Management Science, vol. 9, No. 2 (Jan. 1963) pp. 277-293.

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