Patent ID: 8156030
Filing Date: 2012-04-10
Classification: G06Q

Abstract:
1. A system for measuring the diversification of a portfolio comprising: a computer processor; wherein said processor: (i) receives, as input, a portfolio comprising a plurality of assets; (ii) weights each of the plurality of assets within the portfolio according to an investment value allocated to each of said assets; (iii) defines a relationship between each of the plurality of assets by correlating each of the plurality of assets within the portfolio; (iv) models the portfolio in a geometric space by stretching a vector length associated with each of said plurality of assets in the portfolio in proportion to its concentration and contribution to the portfolio while retaining a set of orientations associated with said correlating step; (v) determines a polytope based on the modeling step associated with the portfolio; and (vi) compares said polytope to a symmetrical model to determine a diversification value; wherein the polytope represents the portfolio whose assets are associated with the vector lengths which are stretched in the modeling step.