Method of determining optimal asset allocation utilizing asset cash flow simulation
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United States of America Patent
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Apr 25, 2000
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N/A
app pub date -
Jan 30, 1998
filing date -
Oct 30, 1995
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Abstract
A method of simulating future cash flow for a given asset allocation under a variety of economic conditions, measuring the frequency of failure of the cash flow to avoid one or more predefined risks. Assigning user-selected weights to avoidance of specified risks and alternative user-selected weights to maximization of rate of return, the invention utilizes the cash flow simulation to produce a performance index. By methodological testing through asset allocation adjustments, the optimum performance index is determined, thereby identifying the optimum asset allocation.
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