Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Patent
1998-09-09
1999-12-14
Stamber, Eric W.
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
G06F 1760
Patent
active
060030186
ABSTRACT:
A method for evaluating an existing or putative portfolio having a plurality of assets. A mean-variance efficient portfolio is computed for a plurality of simulations of input data statistically consistent with an expected return and expected standard deviation of return, and each such portfolio is associated, by means of an index, with a specified portfolio on the mean variance efficient frontier. A statistical mean of the index-associated mean-variance efficient portfolios is used for evaluating a portfolio for consistency with a specified risk objective.
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Michaud Richard O.
Michaud Robert
Campa John
Michaud Partners LLP
Stamber Eric W.
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