Patent ID: 7346569
Filing Date: 2008-03-18
Classification: G06Q

Abstract:
1. A method of computing a time variant allocation of assets among investments, comprising: establishing a plurality of investments in a portfolio among which an allocation of assets is to be made; establishing one or more factors to be associated with the plurality of investments, at least one of the factors having values that are time variant; establishing one or more allocation equations for each of the investments, each of the allocation equations being a mathematical function of the one or more factors, wherein the one or more allocation equations for each of the investments is expressed as: where j is an index representing each of the plurality of investments, t is an index representing time periods, AA jt is an asset allocation for a jth one of the investments in time period t, k is an index representing each of the one or more factors, F kt represents a value of a kth one of the factors at time period t, A j is a constant associated with a jth one of the investments, K is a maximum number of the one or more factors, and B kj represents a coefficient for a kth one of the factors and a jth one of the investments; computing the constant A taking the objective function from the group consisting of: (i) minimizing a sum of the differences between a rate of return of the portfolio and a minimum rate of return threshold for the portfolio over a plurality of time periods; (ii) minimizing a sum of squares of the differences between the rate of return of the portfolio and the minimum rate of return threshold for the portfolio over a plurality of time periods; (iii) minimizing a variance of the rates of return of the portfolio over a plurality of time periods; (iv) maximizing a Sharpe ratio of the rates of return of the portfolio over a plurality of time periods; and (v) maximizing an average of the rates of return of the portfolio over a plurality of time periods; and computing a time variant allocation of assets among investments using the one or more allocation equations for each of the investments.