Patent ID: 7991674

Claim:
An investment allocation system for managing investment return and risk comprising: a storage unit tangibly embodied in a device and storing a threshold, a plurality of first data sets each comprising market-to-market values of one of a plurality of potential investments, and a second data set comprising market-to-market values of a benchmark asset; a return rate computation unit tangibly embodied in said device and transforming said first data set into a first return rate sequence, and transforming each of said second data sets into a second return rate sequences; a standard deviation computation unit tangibly embodied in said device and processing said first return rate sequence to obtain a first standard deviation sequence containing a first ordered list of objects; further said standard deviation computation unit processing said second return rate sequences to obtain a second standard deviation sequence containing a second ordered list of objects; an operation unit tangibly embodied in said device and processing said first standard deviation sequence by said threshold stored in said storage unit, said threshold being assigned to said first standard deviation sequence in order to obtain a corresponding kth-quantile thereof, further said operation unit locating a specific object in said first ordered list of objects in accordance with said kth-quantile, in said second return rate sequence, said operation unit further dividing the number of said second list of objects having smaller values than said specific object by the number of the whole second list of objects to obtain a robustness index; and an allocation process unit tangibly embodied in said device for allocating assets said plurality of potential investments according to said robustness indices thereof.