Patent ID: 6847944

Claim:
A computer implemented method of evaluating long-term average portfolio risk and return for a cyclical corporation, said method comprising the steps of: obtaining by a computer historical pricing information for financial instruments used for a relevant historical period; dividing by the computer the relevant historical period up into time segments; calculating by the computer a gain or loss for each financial instrument in each of a plurality of portfolios based on the pricing information for the time segments over the relevant historical period; obtaining by the computer actual cash level of the corporation for each time segment and dividing up the actual cash level between asset classes of the financial instruments; determining by the computer an average return and risk for each portfolio of the financial instruments based on the calculated gain or loss and divided actual cash level for a typical one of the time segments over the historical period; and using by the computer an optimization framework to pick out the most efficient portfolios of the financial instruments in risk versus return based on the determined average return and risk.