Methods and apparatus for facilitating execution of asset trades based on nonnegative investment risk, using overlapping time periods
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United States of America Patent
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Mar 17, 1998
Grant Date -
N/A
app pub date -
Feb 24, 1995
filing date -
Feb 24, 1995
priority date (Note) -
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Abstract
A portfolio selector for selecting an investment portfolio from a library of assets based on investment risk and risk-adjusted return is provided. The selector chooses a tentative portfolio from the library and determines a risk-adjusted return for the portfolio. The risk-adjusted return is computed by subtracting the average of multiple segment shortfalls from the average of multiple segment performances, over the same segments, based on analysis of market value data for the assets in the portfolio and for a baseline asset. The asset selection and computation is repeated until the risk-adjusted return of the portfolio satisfies criteria derived from preference data specific to an investor.
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