Patent ID: 7415433

Claim:
A method for evaluating at least one of a risk, safety and efficiency property of a portfolio belonging to a class of one of a probability density and a probability distribution, for a given time frame, comprising: obtaining portfolio pricing data over said given time frame; obtaining at least one benchmark X b having benchmark profit, benchmark loss and benchmark return values; with respect to investment returns, fitting one of a stochastic investment class over said given time frame in relation to said benchmark X b by obtaining a location parameter a, a scale parameter b and other corresponding shape parameters; and an empirical investment class over said given time frame in relation to said benchmark X b ; determining a mean return value X m and a standard deviation σ x using said class; graphically illustrating said portfolio in relation to said benchmark X b using said return value X m and said standard deviation σ x on an investment chart; determining for said portfolio by using properties of said class a solution to (X m −X b )=[(E S −X b )·α]+[(E P −X b )·γ]=I′ S +I′ P with I′ S =[(E S −X b )·α] and I′ P =[(E P −X b )·γ], wherein (E S −X b ) is a component of (X m −X b ) and I′ S representing an Expected Shortfall, (E P −X b ) is a component of (X m −X b ) and I′ P representing an Expected Profit, γ is a component of (X m −X b ) and I′ P representing a probability of profit, α is a component of (X m −X b ) and I′ S representing a probability of loss, I′ S is a component of (X m −X b ) representing an insurance against an Expected Shortfall and I′ P is a component of (X m −X b ) representing an insurance against an Expected Profit; graphically illustrating at least one said component of said expression (X m −X b ), in the form of a topographical map on said investment chart using said benchmark X b ; whereby said portfolio can be evaluated in terms of at least one of risk, safety and efficiency.