System and Process for Managing Beta-Controlled Portfolios

System and Process for Managing Beta-Controlled Portfolios

A computer system is selectively programmed to support one or more investment portfolios that have applied to them a counter balancing investment so as to achieve and maintain a target sensitivity to one or more broad market parameters through dynamic multi-beta hedging. The computer system is progr...

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: LO ANDREW W, CHAFKIN JEREMIAH HARRISON
Format: Patent
Sprache:eng
Schlagworte:
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Beschreibung
Zusammenfassung:A computer system is selectively programmed to support one or more investment portfolios that have applied to them a counter balancing investment so as to achieve and maintain a target sensitivity to one or more broad market parameters through dynamic multi-beta hedging. The computer system is programmed to process input data relating to a portfolio's expected volatility based on its broad market exposures and the volatility of these broad markets, a target portfolio volatility, and historical volatility performance over a selected interval, and based thereon, modify the portfolio so as to achieve a future volatility corresponding to the selected target.