WO2004084021A3 - Method for maintaining an absolute risk level for an investment portfolio - Google Patents

Method for maintaining an absolute risk level for an investment portfolio Download PDF

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Publication number
WO2004084021A3
WO2004084021A3 PCT/US2004/007532 US2004007532W WO2004084021A3 WO 2004084021 A3 WO2004084021 A3 WO 2004084021A3 US 2004007532 W US2004007532 W US 2004007532W WO 2004084021 A3 WO2004084021 A3 WO 2004084021A3
Authority
WO
WIPO (PCT)
Prior art keywords
portfolio
level
necessary
maintaining
market
Prior art date
Application number
PCT/US2004/007532
Other languages
French (fr)
Other versions
WO2004084021A2 (en
Inventor
Jack Lawrence Treynor
Original Assignee
Jack Lawrence Treynor
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Priority claimed from US10/389,667 external-priority patent/US7143061B2/en
Application filed by Jack Lawrence Treynor filed Critical Jack Lawrence Treynor
Publication of WO2004084021A2 publication Critical patent/WO2004084021A2/en
Publication of WO2004084021A3 publication Critical patent/WO2004084021A3/en

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Abstract

The present invention provides for maintaining an absolute risk level for an investment portfolio while minimizing trading necessary to do so. Fig. 1is a networked computer system [100] that can be used to practice some embodiments of the invention. The system includes one or more networks [102], one or more investor computers [104], one or more broker computers [106], one or more market information databases, and one or more trading utilities. A portfolio of long and short position assets can be obtained that is approximately logarithmic, in the sense that the value of the portfolio varies in constant proportion to a fractional change in a level of a market. When the market level changes by a specified degree, asset holdings can be adjusted as necessary to the maintain the portfolio as being approximately logarithmic, and total holdings can be adjusted as necessary to maintain a specified level of risk.
PCT/US2004/007532 2003-03-14 2004-03-11 Method for maintaining an absolute risk level for an investment portfolio WO2004084021A2 (en)

Applications Claiming Priority (6)

Application Number Priority Date Filing Date Title
US10/389,667 2003-03-14
US10/389,667 US7143061B2 (en) 2003-03-14 2003-03-14 Method for maintaining an absolute risk level for an investment portfolio
US47027403P 2003-05-14 2003-05-14
US60/470,274 2003-05-14
US47146803P 2003-05-16 2003-05-16
US60/471,468 2003-05-16

Publications (2)

Publication Number Publication Date
WO2004084021A2 WO2004084021A2 (en) 2004-09-30
WO2004084021A3 true WO2004084021A3 (en) 2005-04-14

Family

ID=33033142

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2004/007532 WO2004084021A2 (en) 2003-03-14 2004-03-11 Method for maintaining an absolute risk level for an investment portfolio

Country Status (1)

Country Link
WO (1) WO2004084021A2 (en)

Families Citing this family (1)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US20070055609A1 (en) * 2005-09-06 2007-03-08 Whitehurst Philip H Methods and systems for commoditizing interest rate swap risk transfers

Citations (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US5819238A (en) * 1996-12-13 1998-10-06 Enhanced Investment Technologies, Inc. Apparatus and accompanying methods for automatically modifying a financial portfolio through dynamic re-weighting based on a non-constant function of current capitalization weights
US20020038273A1 (en) * 2000-07-13 2002-03-28 Wherry C. John Method and system for investment integration
US20040024695A1 (en) * 2002-07-19 2004-02-05 Riskmetrics Group, Inc. Constant volatility or risk indices

Patent Citations (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US5819238A (en) * 1996-12-13 1998-10-06 Enhanced Investment Technologies, Inc. Apparatus and accompanying methods for automatically modifying a financial portfolio through dynamic re-weighting based on a non-constant function of current capitalization weights
US20020038273A1 (en) * 2000-07-13 2002-03-28 Wherry C. John Method and system for investment integration
US20040024695A1 (en) * 2002-07-19 2004-02-05 Riskmetrics Group, Inc. Constant volatility or risk indices

Also Published As

Publication number Publication date
WO2004084021A2 (en) 2004-09-30

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