Method for managing an investment portfolio
AssigneeTrajectory Asset Management LLC
InventorJuan Manuel Ocampo
Life of this patent
Estimating the term…
Abstract
There is provided a method for managing an investment portfolio. The method includes determining a feasible loss in notional value of a contract sub-portfolio of the investment portfolio, and determining a composition between the contract sub-portfolio and an asset sub-portfolio of the investment portfolio such that a value of the investment portfolio on a second date that is subsequent to a first date is no less than a highest marked-to-market value for the investment portfolio that occurred on or between the first date and the second date.
Claims19
A method for managing an investment portfolio, said investment portfolio including investments divided among at least a volatile sub-portfolio and a reserve sub-portfolio, said method comprising:
- determining, on an allocation date, a highest marked-to-market value for said investment portfolio on a previous marked-to-market date falling on or after a first date and on or before said allocation date;
- determining, on said allocation date, a feasible loss in notional value of said volatile sub-portfolio between said allocation date and a next marked-to-market date falling on or after said allocation date and on or before a second date;
- and
- determining, on said allocation date, a composition of said investment portfolio, comprising a current notional value of said volatile sub-portfolio and a current market value of assets allocated to said reserve sub-portfolio;
- wherein:
- said portfolio composition is such that a sum of (a) a future value of assets allocated to said reserve sub-portfolio on said next marked-to-market date, and (b) a difference between (1) a current market value of said volatile sub-portfolio, and (2) said feasible loss in notional value of said volatile sub-portfolio as applied to said current notional value of said volatile sub-portfolio, is at least equal to said highest marked-to-market value for said investment portfolio.
A data storage medium encoded with machine-executable instructions for performing a method of managing an investment portfolio, said investment portfolio including investments divided among at least a volatile sub-portfolio and a reserve sub-portfolio, said instructions comprising instructions for:
- determining, on an allocation date, a highest marked-to-market value for said investment portfolio on a previous marked-to-market date falling on or after a first date and on or before said allocation date;
- determining, on said allocation date, a feasible loss in notional value of said volatile sub-portfolio between said allocation date and a next marked-to-market date falling on or after said allocation date and on or before a second date;
- and
- determining, on said allocation date, a composition of said investment portfolio, comprising a current notional value of said volatile sub-portfolio and a current market value of assets allocated to said reserve sub-portfolio;
- wherein:
- said portfolio composition is such that a sum of (a) a future value of assets allocated to said reserve sub-portfolio on said next marked-to-market date, and (b) a difference between (1) a current market value of said volatile sub-portfolio, and (2) said feasible loss in notional value of said volatile sub-portfolio as applied to said current notional value of said volatile sub-portfolio, is at least equal to said highest marked-to-market value for said investment portfolio.
Dependencies are inferred from the claim text.