WO2001039005A8 - Method of portfolio valuation - Google Patents

Method of portfolio valuation

Info

Publication number
WO2001039005A8
WO2001039005A8 PCT/CA2000/001388 CA0001388W WO0139005A8 WO 2001039005 A8 WO2001039005 A8 WO 2001039005A8 CA 0001388 W CA0001388 W CA 0001388W WO 0139005 A8 WO0139005 A8 WO 0139005A8
Authority
WO
WIPO (PCT)
Prior art keywords
portfolio
value
values
relates
portfolios
Prior art date
Application number
PCT/CA2000/001388
Other languages
French (fr)
Other versions
WO2001039005A2 (en
Inventor
Ron Dembo
Helmut Mausser
Original Assignee
Algorithmics Internat Corp
Ron Dembo
Helmut Mausser
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 Algorithmics Internat Corp, Ron Dembo, Helmut Mausser filed Critical Algorithmics Internat Corp
Priority to EP00979300A priority Critical patent/EP1203335A2/en
Priority to AU16847/01A priority patent/AU1684701A/en
Priority to JP2001540599A priority patent/JP2003527679A/en
Priority to CA2358959A priority patent/CA2358959C/en
Publication of WO2001039005A2 publication Critical patent/WO2001039005A2/en
Publication of WO2001039005A8 publication Critical patent/WO2001039005A8/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
    • G06Q40/08—Insurance
    • 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
    • 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
    • G06Q40/03—Credit; Loans; Processing thereof
    • 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
    • G06Q40/06—Asset management; Financial planning or analysis

Abstract

La présente invention concerne un système et un procédé d'évaluation d'un portefeuille d'après ses performances par rapport à un point de référence spécifique et selon plusieurs scénarios à venir. Plus particulièrement, l'invention permet de prendre un portefeuille et de calculer deux valeurs liées à ce portefeuille, la première valeur correspondant à la baisse potentielle de la valeur du portefeuille en dessous d'une valeur de référence, au cours d'un horizon donné, et une seconde valeur correspondant à une somme dont la valeur du portefeuille pourrait dépasser une valeur de référence, au cours d'un horizon donné, en prévision de plusieurs scénarios différents à venir. L'invention porte également sur des moyens permettant de déterminer le portefeuille permettant d'obtenir le compromis optimal entre ces deux valeurs, et d'évaluer des mesures des performances risques/récompenses grâce à ces deux valeurs qui peuvent s'utiliser pour classer des instruments, des valeurs ou des portefeuilles. L'invention concerne en outre des moyens permettant de fixer un prix d'assurance de portefeuille pour des portefeuilles optimaux.The present invention relates to a system and method for evaluating a portfolio based on its performance relative to a specific reference point and according to several future scenarios. More particularly, the invention makes it possible to take a portfolio and calculate two values linked to this portfolio, the first value corresponding to the potential fall in the value of the portfolio below a reference value, over a given horizon. , and a second value corresponding to an amount whose portfolio value could exceed a reference value, over a given horizon, in anticipation of several different scenarios to come. The invention also relates to means making it possible to determine the portfolio making it possible to obtain the optimal compromise between these two values, and to evaluate risk / reward performance measures using these two values which can be used to classify instruments , stocks or portfolios. The invention further relates to means for setting a portfolio insurance price for optimal portfolios.

PCT/CA2000/001388 1999-11-26 2000-11-24 Method of portfolio valuation WO2001039005A2 (en)

Priority Applications (4)

Application Number Priority Date Filing Date Title
EP00979300A EP1203335A2 (en) 1999-11-26 2000-11-24 Method of portfolio valuation
AU16847/01A AU1684701A (en) 1999-11-26 2000-11-24 Method of portfolio valuation
JP2001540599A JP2003527679A (en) 1999-11-26 2000-11-24 Portfolio valuation method
CA2358959A CA2358959C (en) 1999-11-26 2000-11-24 Method of portfolio valuation

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
CA2,290,888 1999-11-26
CA002290888A CA2290888A1 (en) 1999-11-26 1999-11-26 Risk management, pricing and portfolio makeup system and method

Publications (2)

Publication Number Publication Date
WO2001039005A2 WO2001039005A2 (en) 2001-05-31
WO2001039005A8 true WO2001039005A8 (en) 2002-02-28

Family

ID=4164725

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/CA2000/001388 WO2001039005A2 (en) 1999-11-26 2000-11-24 Method of portfolio valuation

Country Status (6)

Country Link
US (2) US7171385B1 (en)
EP (1) EP1203335A2 (en)
JP (1) JP2003527679A (en)
AU (1) AU1684701A (en)
CA (2) CA2290888A1 (en)
WO (1) WO2001039005A2 (en)

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EP1203335A2 (en) 2002-05-08
US20070124227A1 (en) 2007-05-31
CA2290888A1 (en) 2001-05-26
CA2358959A1 (en) 2001-05-31
US7171385B1 (en) 2007-01-30
WO2001039005A2 (en) 2001-05-31
AU1684701A (en) 2001-06-04

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