Risk direct asset allocation and risk resolved CAPM for optimally allocating investment assets in an investment portfolio
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United States of America Patent
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Jun 20, 2000
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N/A
app pub date -
Mar 16, 1998
filing date -
Mar 16, 1998
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Abstract
A computer system and method for optimally allocating investment funds of an investor in a portfolio having a plurality of investments, comprising: determining a risk tolerance function for the investor specifying the investor's probability preference at each of a plurality of monetary amounts relative to a monetary range relevant to the investor, and allocating the investment funds among the investments to create an investment allocation by maximizing an expected value of a first probability density function of the investor's probability preferences determined as a function of a second probability density function of the portfolio's predicted market performance with respect to the investment funds and the investor's risk tolerance function.
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