Computer system and method for determining optimal asset allocation
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United States of America Patent
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Apr 3, 2012
Grant Date -
Aug 4, 2011
app pub date -
Apr 12, 2011
filing date -
Jul 31, 2008
priority date (Note) -
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Abstract
A computer system is provided for selecting an asset allocation for an investment portfolio intended to produce a target payout starting at a target date. The computer system is programmed to receive inputs that may relate to the target payout, the target date and a nominal rate of contributions to the investment portfolio. The computer system calculates a plurality of simulated investment outcomes based on assumed investment return rates and assumed inflation rates. The assumed investment return rates and assumed inflation rates are randomly selected in multi-year clusters from historical data. The computer system selects the asset allocation based on relative performance of the assumed asset allocations in the simulated investment outcomes.
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