Methods and apparatus for evaluating portfolios based on investment risk
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United States of America Patent
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Jul 21, 1998
Issued Date -
N/A
app pub date -
Jun 6, 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. A data storage medium encoded with instructions for performing the method is also provided.
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