Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2005-08-09
2005-08-09
Kazimi, Hani (Department: 3624)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S035000, C705S007380
Reexamination Certificate
active
06928418
ABSTRACT:
A method for evaluating statistical congruence of an existing or putative portfolio with a target portfolio, both the current portfolio and the target 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. The number of simulations and the number of simulations periods is specified on the basis of a specified information correlation value. A statistical mean of the index-associated mean-variance efficient portfolios is used for evaluating a portfolio, in accordance with a specified balancing test, for statistical consistency with a specified risk objective and, additionally, for defining investment-relevant allocation ranges of portfolio weights.
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Michaud Richard O.
Michaud Robert
Bromberg & Sunstein LLP
Kazimi Hani
Michaud Partners LLP
Subramanian Narayanswamy
LandOfFree
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