Patent ID: 7398243

Claim:
A method for managing an investment portfolio, said investment portfolio including investments divided among at least a volatile sub-portfolio and a reserve sub-portfolio, said method comprising: determining, on an allocation date, a highest marked-to-market value for said investment portfolio on a previous marked-to-market date falling on or after a first date and on or before said allocation date; determining, on said allocation date, a feasible loss in notional value of said volatile sub-portfolio between said allocation date and a next marked-to-market date falling on or after said allocation date and on or before a second date; and determining, on said allocation date, a composition of said investment portfolio, comprising a current notional value of said volatile sub-portfolio and a current market value of assets allocated to said reserve sub-portfolio; wherein: said portfolio composition is such that a sum of (a) a future value of assets allocated to said reserve sub-portfolio on said next marked-to-market date, and (b) a difference between (1) a current market value of said volatile sub-portfolio, and (2) said feasible loss in notional value of said volatile sub-portfolio as applied to said current notional value of said volatile sub-portfolio, is at least equal to said highest marked-to-market value for said investment portfolio.