Method and system for asset allocation

An asset and traditional technology, applied in the field of asset allocation and systems, can solve problems such as limited models and investment illiquidity

Inactive Publication Date: 2007-12-26
CITIBANK
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

[0010] First question: real estate holdings, credit structure (buying bond portfolios and looking to grow yield by collateralizing assets to buy more securities) and investments in venture capital, debt buyouts and other types of private equity are illiquid of
State-of-the-art models limited to traditional or liquid components of the portfolio

Method used

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  • Method and system for asset allocation
  • Method and system for asset allocation
  • Method and system for asset allocation

Examples

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Embodiment Construction

[0041] As stated, detailed features and embodiments of the invention are disclosed herein. It is to be understood, however, that the features and embodiments disclosed are merely exemplary of the invention, which may be practiced in many alternative ways. The figures are not necessarily to scale, some features may be exaggerated or minimized to show details of particular components. Therefore, specific structural and functional details disclosed herein, and any specific combination of these details, are not to be interpreted as limiting, but merely as a basis for the claims and as representative examples to enable one skilled in the art to variously practice the invention. Base.

[0042] Embodiments of the present invention will now be described in detail, and examples of the invention are shown in the accompanying drawings, each example being provided by way of explanation of the invention, not limitation of the invention. It will be apparent to those skilled in the art tha...

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Abstract

A method and system of matching an investor's objectives for portfolio investment return and risk with an assessment of a range of expected returns and risks that are likely to be generated by investment portfolios consisting at least in part of alternative asset classes that involves, for example, selecting available historical data for a plurality of alternative asset classes, unsmoothing the historical data based at least in part on historical data for traditional asset classes related to the respective alternative asset classes, and correcting the historical data for the alternative asset classes for an impact of survivorship and selection biases. A forecast of an expected return and risk is computed for each of the alternative asset classes, based at least in part on the unsmoothed and corrected historical data for the alternative asset classes, and at least one of the alternative asset classes that has an expected return and risk that corresponds substantially to the investor's objectives for portfolio investment return and risk is identified for inclusion in the investment portfolio.

Description

[0001] priority application [0002] This application claims U.S. Provisional Application No. 60 / 501,833, filed September 11, 2003, entitled "WHOLENET WORTH ASSET ALLOCATION" and filed November 10, 2003, entitled "METHOD OF ASSET ALLOCATION" and SYSTEM (METHOD AND SYSTEM FOR ASSET ALLOCATION)", the entire contents of which are hereby incorporated by reference. technical field [0003] The present invention generally relates to a method and system that provides investors with a single unified framework of the amount of assets they should hold for each asset class. More specifically (but not limitedly), the present invention is an asset allocation method and system that enables optimization of virtually all investable asset classes (whether liquid or illiquid, traditional or alternative). Background technique [0004] With the development of modern portfolio theory, the views of investment managers and investors on the portfolio of various investments have changed dramaticall...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/00G06Q40/06
Inventor 道格・R.・邓达斯鲁伊・德菲格雷多保罗・戈德怀特
Owner CITIBANK
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