WO2005026917A3 - Method and system for asset allocation - Google Patents

Method and system for asset allocation Download PDF

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Publication number
WO2005026917A3
WO2005026917A3 PCT/US2004/029933 US2004029933W WO2005026917A3 WO 2005026917 A3 WO2005026917 A3 WO 2005026917A3 US 2004029933 W US2004029933 W US 2004029933W WO 2005026917 A3 WO2005026917 A3 WO 2005026917A3
Authority
WO
WIPO (PCT)
Prior art keywords
asset classes
historical data
alternative asset
risk
alternative
Prior art date
Application number
PCT/US2004/029933
Other languages
French (fr)
Other versions
WO2005026917A2 (en
Inventor
Doug R Dundas
Figueiredo Rui De
Paul Goldwhite
Original Assignee
Citibank Na
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
Application filed by Citibank Na filed Critical Citibank Na
Priority to MXPA06002848A priority Critical patent/MXPA06002848A/en
Priority to JP2006526387A priority patent/JP2007505411A/en
Priority to BRPI0414342-6A priority patent/BRPI0414342A/en
Priority to AU2004272206A priority patent/AU2004272206A1/en
Priority to EP04783957A priority patent/EP1664975A4/en
Priority to CA002538815A priority patent/CA2538815A1/en
Publication of WO2005026917A2 publication Critical patent/WO2005026917A2/en
Priority to IL174275A priority patent/IL174275A0/en
Publication of WO2005026917A3 publication Critical patent/WO2005026917A3/en

Links

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
    • 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
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • 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
    • G06Q40/10—Tax strategies

Abstract

A method and system of matching an investor's objectives for portfolio investment return and risk with an assessment of a range of expected returns and risks that are likely to be generated by investment portfolios consisting at least in part of alternative asset classes that involves, for example, selecting available historical data for a plurality of alternative asset classes, unsmoothing the historical data based at least in part on historical data for traditional asset classes related to the respective alternative asset classes, and correcting the historical data for the alternative asset classes for an impact of survivorship and selection biases. A forecast of an expected return and risk is computed for each of the alternative asset classes, based at least in part on the unsmoothed and corrected historical data for the alternative asset classes, and at least one of the alternative asset classes that has an expected return and risk that corresponds substantially to the investor's objectives for portfolio investment return and risk is identified for inclusion in the investment portfolio.
PCT/US2004/029933 2003-09-11 2004-09-13 Method and system for asset allocation WO2005026917A2 (en)

Priority Applications (7)

Application Number Priority Date Filing Date Title
MXPA06002848A MXPA06002848A (en) 2003-09-11 2004-09-13 Method and system for asset allocation.
JP2006526387A JP2007505411A (en) 2003-09-11 2004-09-13 Method and system for asset allocation
BRPI0414342-6A BRPI0414342A (en) 2003-09-11 2004-09-13 resource allocation method and system
AU2004272206A AU2004272206A1 (en) 2003-09-11 2004-09-13 Method and system for asset allocation
EP04783957A EP1664975A4 (en) 2003-09-11 2004-09-13 Method and system for asset allocation
CA002538815A CA2538815A1 (en) 2003-09-11 2004-09-13 Method and system for asset allocation
IL174275A IL174275A0 (en) 2003-09-11 2006-03-12 Method and system for asset allocation

Applications Claiming Priority (4)

Application Number Priority Date Filing Date Title
US50183303P 2003-09-11 2003-09-11
US60/501,833 2003-09-11
US51833203P 2003-11-10 2003-11-10
US60/518,332 2003-11-10

Publications (2)

Publication Number Publication Date
WO2005026917A2 WO2005026917A2 (en) 2005-03-24
WO2005026917A3 true WO2005026917A3 (en) 2006-09-28

Family

ID=34316497

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2004/029933 WO2005026917A2 (en) 2003-09-11 2004-09-13 Method and system for asset allocation

Country Status (10)

Country Link
US (2) US7599872B2 (en)
EP (1) EP1664975A4 (en)
JP (1) JP2007505411A (en)
KR (1) KR20060123116A (en)
AU (1) AU2004272206A1 (en)
BR (1) BRPI0414342A (en)
CA (1) CA2538815A1 (en)
IL (1) IL174275A0 (en)
MX (1) MXPA06002848A (en)
WO (1) WO2005026917A2 (en)

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US8069109B2 (en) 2005-01-07 2011-11-29 Chicago Mercantile Exchange Inc. System and method for using diversification spreading for risk offset
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US20060212376A1 (en) * 2005-03-21 2006-09-21 Perspective Partners Systems and methods for real-time, dynamic multi-dimensional constraint analysis of portfolios of financial instruments
US20060253356A1 (en) * 2005-05-05 2006-11-09 Cogent Partners, Lp Methods and devices for displaying and communicating complex financial information
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KR100889278B1 (en) * 2007-03-16 2009-03-19 주식회사 신한은행 System and Method for Producing Profitable Classified by Custom, Server and Program Recording Medium
WO2008137735A2 (en) * 2007-05-04 2008-11-13 Jason Galanis Access for non-accredited investor to simulated hedged and leveraged investments through exempt variable rate term deposit vehicles
US8185464B1 (en) * 2007-09-14 2012-05-22 The Vanguard Group, Inc. Method of making distributions from an investment fund
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US20100217725A1 (en) * 2009-02-24 2010-08-26 Clyne Miles A Apparatus for automatic financial portfolio monitoring and associated methods
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US8321333B2 (en) 2009-09-15 2012-11-27 Chicago Mercantile Exchange Inc. System and method for determining the market risk margin requirements associated with a credit default swap
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Also Published As

Publication number Publication date
EP1664975A4 (en) 2008-04-23
WO2005026917A2 (en) 2005-03-24
US7599872B2 (en) 2009-10-06
KR20060123116A (en) 2006-12-01
AU2004272206A1 (en) 2005-03-24
MXPA06002848A (en) 2006-06-23
EP1664975A2 (en) 2006-06-07
JP2007505411A (en) 2007-03-08
BRPI0414342A (en) 2006-11-07
US20050171883A1 (en) 2005-08-04
CA2538815A1 (en) 2005-03-24
US20100010938A1 (en) 2010-01-14
IL174275A0 (en) 2006-08-01

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