US5784696A
Expired / Lapsed
US
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Methods and apparatus for evaluating portfolios based on investment risk
Assignee: ACTUARIAL ANALYTICS LLC
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Filing: 1995-06-06
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Granted: 1998-07-21
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Expires: 2015-06-06
Abstract
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.
Inventors
- 👤 Meyer Melnikoff
Bibliographic Details
Application Number
—
Jurisdiction
US
Data Source
google_patents
Last Synchronized
2026-11-05 13:18
CPC Classifications
G; G06; G06Q; G06Q40/00; G06Q40/08; G06Q40/06
Claims Analysis
Total Claims: 23
Claim 1
Independent Claim
287 words
A machine-readable data storage medium encoded with a set of machine-executable instructions for using a data processing system to perform a method for determining an average relative performance of a first asset relative to a second asset, each of said assets having market value data observable on a periodic basis, said average relative performance based on first value data for said first asset and second value data for said second asset, said method comprising the steps of: (a) providing said first value data comprising a first plurality of pairs of observations of market value of said first asset, the observations in each pair of observations being spaced apart by a time duration common to all said pairs of observations; (b) providing said second value data comprising a corresponding second plurality of pairs of observations of market value of said second asset, the observations in each pair of observations being spaced apart by said time duration; (c) determining, for each pair in said first plurality and a corresponding pair in said second plurality: (i) a performance of said first asset over said time duration; (ii) an extent to which said first asset underperforms said second asset over said time duration, which extent when negative is replaced by zero, to yield a nonnegative shortfall; (d) computing a first average of said performances; (e) computing a second average of said nonnegative shortfalls; (f) computing said average relative performance by computing a difference between said first average and said second average; and (g) communicating to said investor a report comprising information sufficient to identify said first asset and a recommendation whether to execute one or more trades of said first asset, with said recommendation being based on said average relative performance.
Claim 2
Dependent Claim
287 words
A machine-readable data storage medium encoded with a set of machine-executable instructions for using a data processing system to perform a method for determining an average relative performance of a first asset relative to a second asset, each of said assets having market value data observable on a periodic basis, said average relative performance based on first value data for said first asset and second value data for said second asset, said method comprising the steps of: (a) providing said first value data comprising a first plurality of pairs of observations of market value of said first asset, the observations in each pair of observations being spaced apart by a time duration common to all said pairs of observations; (b) providing said second value data comprising a corresponding second plurality of pairs of observations of market value of said second asset, the observations in each pair of observations being spaced apart by said time duration; (c) determining, for each pair in said first plurality and a corresponding pair in said second plurality: (i) a performance of said first asset over said time duration; (ii) an extent to which said first asset underperforms said second asset over said time duration, which extent when negative is replaced by zero, to yield a nonnegative shortfall; (d) computing a first average of said performances; (e) computing a second average of said nonnegative shortfalls; (f) computing said average relative performance by computing a difference between said first average and said second average; and (g) communicating to said investor a report comprising information sufficient to identify said first asset and a recommendation whether to execute one or more trades of said first asset, with said recommendation being based on said average relative performance.
Claim 3
Dependent Claim
23 words
The machine-readable data storage medium of claim 1 wherein, as encoded, said difference between said first average and said second average is weighted.
Claim 4
Dependent Claim
26 words
The machine-readable data storage medium of claim 2 wherein, as encoded, said difference is weighted by a loss-to-gain aversion weight that is specific to an investor.
Claim 5
Dependent Claim
21 words
The machine-readable data storage medium of claim 3 wherein, as encoded, said aversion weight varies with the magnitudes of said shortfalls.
Claim 6
Dependent Claim
231 words
A machine-readable data storage medium encoded with a set of machine-executable instructions for using a data processing system to perform a method for determining an average relative performance of a first asset relative to a second asset, each of said assets having market value data observable on a periodic basis, said average relative performance based on first value data for said first asset and second value data for said second asset, said method comprising the steps of: (a) identifying pairs of first value data and pairs of second value data, each said pair of first value data corresponding in time with one of said pairs of second value data, each pair comprising a first datapoint and a second datapoint; (b) for each pair of first value data and each corresponding pair of second value data: (i) computing a nonnegative extent to which said first asset underperforms said second asset; and (ii) computing a performance of said first asset equal to a percentage increase in asset value from said first datapoint to said second datapoint; (c) determining said average relative performance by computing a function of said nonnegative extents and said performances; and (d) communicating to said investor a report comprising information sufficient to identify said first asset and a recommendation whether to execute one or more trades of said first asset, with said recommendation being based on said average relative performance.
Claim 7
Dependent Claim
231 words
A machine-readable data storage medium encoded with a set of machine-executable instructions for using a data processing system to perform a method for determining an average relative performance of a first asset relative to a second asset, each of said assets having market value data observable on a periodic basis, said average relative performance based on first value data for said first asset and second value data for said second asset, said method comprising the steps of: (a) identifying pairs of first value data and pairs of second value data, each said pair of first value data corresponding in time with one of said pairs of second value data, each pair comprising a first datapoint and a second datapoint; (b) for each pair of first value data and each corresponding pair of second value data: (i) computing a nonnegative extent to which said first asset underperforms said second asset; and (ii) computing a performance of said first asset equal to a percentage increase in asset value from said first datapoint to said second datapoint; (c) determining said average relative performance by computing a function of said nonnegative extents and said performances; and (d) communicating to said investor a report comprising information sufficient to identify said first asset and a recommendation whether to execute one or more trades of said first asset, with said recommendation being based on said average relative performance.
Claim 8
Dependent Claim
45 words
The machine-readable data storage medium of claim 5 wherein, as encoded, said datapoints in each of said pairs of value data represent value data that are spaced apart in time by a time duration that is the same for all of said value data pairs.
Claim 9
Dependent Claim
36 words
The machine-readable data storage medium of claim 6 wherein, as encoded, computing a function of said nonnegative extents and said performances includes performing a weighting by a loss-to-gain aversion weight that is specific to an investor.
Claim 10
Dependent Claim
22 words
The machine-readable data storage medium of claim 7 wherein, as encoded, said aversion weight varies with the magnitudes of said nonnegative extents.
Claim 11
Dependent Claim
23 words
The machine-readable data storage medium of claim 6, further comprising encoded instructions for making an investment recommendation based on said average relative performance.
Claim 12
Dependent Claim
35 words
The machine-readable data storage medium of claim 6, further comprising encoded instructions for executing an asset trade in a market in which said first asset is traded, said trade based on said average relative performance.
Claim 13
Dependent Claim
277 words
A machine-readable data storage medium encoded with a set of machine-executable instructions for using a data processing system to perform a method for determining an average relative performance of a first asset relative to a second asset, each of said assets having market value data observable on a periodic basis, said average relative performance based on first value data for said first asset and second value data for said second asset, said method comprising the steps of: (a) identifying pairs of first value data and pairs of second value data, each said pair of first value data corresponding in time with one of said pairs of second value data, each pair comprising a first datapoint and a second datapoint, said datapoints in each of said pairs of value data representing value data that are spaced apart in time by a time duration that is the same for all of said value data pairs; (b) for each pair of first value data and each corresponding pair of second value data: (i) computing a nonnegative extent to which said first asset underperforms said second asset; and (ii) computing a performance of said first asset equal to a percentage increase in asset value from said first datapoint to said second datapoint; (c) determining said average relative performance by computing a function of said nonnegative extents, of said performances, and of a loss-to-gain aversion weight that is specific to an investor; and (d) communicating to said investor a report comprising information sufficient to identify said first asset and a recommendation whether to execute one or more trades of said first asset, with said recommendation being based on said average relative performance.
Claim 14
Dependent Claim
277 words
A machine-readable data storage medium encoded with a set of machine-executable instructions for using a data processing system to perform a method for determining an average relative performance of a first asset relative to a second asset, each of said assets having market value data observable on a periodic basis, said average relative performance based on first value data for said first asset and second value data for said second asset, said method comprising the steps of: (a) identifying pairs of first value data and pairs of second value data, each said pair of first value data corresponding in time with one of said pairs of second value data, each pair comprising a first datapoint and a second datapoint, said datapoints in each of said pairs of value data representing value data that are spaced apart in time by a time duration that is the same for all of said value data pairs; (b) for each pair of first value data and each corresponding pair of second value data: (i) computing a nonnegative extent to which said first asset underperforms said second asset; and (ii) computing a performance of said first asset equal to a percentage increase in asset value from said first datapoint to said second datapoint; (c) determining said average relative performance by computing a function of said nonnegative extents, of said performances, and of a loss-to-gain aversion weight that is specific to an investor; and (d) communicating to said investor a report comprising information sufficient to identify said first asset and a recommendation whether to execute one or more trades of said first asset, with said recommendation being based on said average relative performance.
Claim 15
Dependent Claim
274 words
A machine-readable data storage medium encoded with a set of machine-executable instructions for using a data processing system to perform a method for determining shortfall in performance of a first asset relative to a second asset, each of said assets having market value data observable on a periodic basis, said shortfall based on first value data for said first asset and second value data for said second asset, said method comprising the steps of: (a) identifying pairs of first value data and corresponding pairs of second value data, each pair spanning a time period, said time period spanned by each pair of first value data overlapping with said time period spanned by at least one other pair of first value data, and said time period spanned by each pair of second value data overlapping with said time period spanned by at least one other pair of second value data, each pair comprising a first datapoint whose value represents the market value of said first or second asset on an earlier date and a second datapoint whose value represents the market value of said first or second asset on a later date; (b) for each pair of first value data and each pair of corresponding second value data, computing a nonnegative extent to which said first asset underperforms said second asset, to yield a plurality of nonnegative extents; (c) averaging said nonnegative extents to yield said shortfall; and (d) communicating to said investor a report comprising information sufficient to identify said first asset and a recommendation whether to execute one or more trades of said first asset, with said recommendation being based on said shortfall.
Claim 16
Dependent Claim
274 words
A machine-readable data storage medium encoded with a set of machine-executable instructions for using a data processing system to perform a method for determining shortfall in performance of a first asset relative to a second asset, each of said assets having market value data observable on a periodic basis, said shortfall based on first value data for said first asset and second value data for said second asset, said method comprising the steps of: (a) identifying pairs of first value data and corresponding pairs of second value data, each pair spanning a time period, said time period spanned by each pair of first value data overlapping with said time period spanned by at least one other pair of first value data, and said time period spanned by each pair of second value data overlapping with said time period spanned by at least one other pair of second value data, each pair comprising a first datapoint whose value represents the market value of said first or second asset on an earlier date and a second datapoint whose value represents the market value of said first or second asset on a later date; (b) for each pair of first value data and each pair of corresponding second value data, computing a nonnegative extent to which said first asset underperforms said second asset, to yield a plurality of nonnegative extents; (c) averaging said nonnegative extents to yield said shortfall; and (d) communicating to said investor a report comprising information sufficient to identify said first asset and a recommendation whether to execute one or more trades of said first asset, with said recommendation being based on said shortfall.
Claim 17
Dependent Claim
45 words
The machine-readable data storage medium of claim 12 wherein, as encoded, said datapoints in each of said pairs of value data represent value data that are spaced apart in time by a time duration that is the same for all of said value data pairs.
Claim 18
Dependent Claim
21 words
The machine-readable data storage medium of claim 1, claim 5, claim 11 or claim 12, said data storage medium being magnetic.
Claim 19
Dependent Claim
17 words
The magnetic machine-readable data storage medium of claim 14, said data storage medium being a floppy diskette.
Claim 20
Dependent Claim
17 words
The magnetic machine-readable data storage medium of claim 14, said data storage medium being a hard disk.
Claim 21
Dependent Claim
22 words
The machine-readable data storage medium of claim 1, claim 5, claim 11 or claim 12, said data storage medium being optically readable.
Claim 22
Dependent Claim
15 words
The optically readable storage medium of claim 17, said data storage medium being a CD-ROM.
Claim 23
Dependent Claim
17 words
The optically readable data storage medium of claim 17, said data storage medium being a magneto-optical disk.
References Cited (Backward Citations)
No citation records indexed.
USPTO Annuity & Maintenance Windows
| Annuity Stage | Window Opens | Payment Deadline | Surcharge Period Until | Estimated Fee | Status |
|---|---|---|---|---|---|
| 3.5 Years (Year 4) | 2001-07-20 | 2002-01-19 | 2002-07-21 | $2000.00 | Window Closed / Lapsed |
| 7.5 Years (Year 8) | 2005-07-20 | 2006-01-19 | 2006-07-21 | $3760.00 | Window Closed / Lapsed |
| 11.5 Years (Year 12) | 2009-07-20 | 2010-01-19 | 2010-07-21 | $7700.00 | Window Closed / Lapsed |