Methods and apparatus for evaluating portfolios based on investm

Details Methods and apparatus for evaluating portfolios based on investm Methods and apparatus for evaluating portfolios based on investm

1995-06-06

1998-07-21

Hayes, Gail O.

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

Automated electrical financial or business practice or...

Finance

G06F 1760

Patent

active

057846960

ABSTRACT:
A portfolio selector for selecting an investment portfolio from a library of assets based on investment risk and risk-adjusted return is provided. The selector chooses a tentative portfolio from the library and determines a risk-adjusted return for the portfolio. The risk-adjusted return is computed by subtracting the average of multiple segment shortfalls from the average of multiple segment performances, over the same segments, based on analysis of market value data for the assets in the portfolio and for a baseline asset. The asset selection and computation is repeated until the risk-adjusted return of the portfolio satisfies criteria derived from preference data specific to an investor. A data storage medium encoded with instructions for performing the method is also provided.

REFERENCES:
W.F. Sharpe, Fianancial Analysts Journal, pp. 10-11, Abstract No. D85002332 (INSPEC.), May-Jun. 1985.

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