Patent ID: 8401949
Filing Date: 2013-03-19
Classification: G06Q

Abstract:
1. A computer processor-implemented method of performing analysis of a portfolio comprising: receiving a request for an investment portfolio analysis report; receiving portfolio asset allocation data, indicating a plurality of portfolio assets that make up the portfolio; setting a target time period and dividing the time period into Z subperiods; associating via a computer processor each of the plurality of portfolio assets with one of the following tax characteristic groups: income not taxed group, income taxed at the income tax rate group and income taxed at the capital gains tax rate group; determining via a computer processor covariances between the income not taxed group, income taxed at the income tax rate group and income taxed at the capital gains tax rate group; using the covariances to generate via a computer processor N sets of dependent random variables, for each Z subperiod, where each of the N sets of dependent random variables provides a simulated performance of the income not taxed group, income taxed at the income tax rate group and income taxed at the capital gains tax rate group for the subperiod; computing N simulated portfolio values for the income not taxed group, income taxed at the income tax rate group and income taxed at the capital gains tax rate group using N sets of dependant random variables, for each Z subperiod, where the computation of the value for each Z subperiod comprises: generating via a computer processor an investment portfolio analysis report based on the computed N simulated portfolio values and outputting the portfolio analysis report responsive to the received portfolio analysis report request.