[특허]Diversification measurement and analysis system

Diversification measurement and analysis system 원문보기

IPC분류정보
국가/구분	United States(US) Patent 등록
국제특허분류(IPC7판)	G06Q-040/00
출원번호	US-0417713 (2009-04-03)
등록번호	US-8156030 (2012-04-10)
발명자 / 주소	Damschroder, James Eric Ladd, Josh Samuel
출원인 / 주소	Gravity Investments LLC
대리인 / 주소	Frost Brown Todd LLC
인용정보	피인용 횟수 : 0 인용 특허 : 68

초록 ▼

This disclosure details methods for measuring and analyzing diversification of portfolio of assets. A dimension is a logical and quantitative means to measure diversification. As the number of dimensions increases so does diversification. Strong asset correlations among each other detract from the notion of independence. A positive correlation increases risks and is therefore undesirable. Assets are embedded into a high dimensional Euclidean vector space. The entire portfolio is interpreted as a set of points whose ambient dimension is the number of assets in the portfolio. The Karhunen-Loève expansion is used to quantify the KL dimension of the geometric object induced by a portfolio. The associated dimension is taken as the measure of diversification accounts for both the number of assets and the commonality within them. This ensures that measuring diversification as a dimension accounts for the complete diversification affect of the portfolio and is thus a valuable portfolio management tool.

대표청구항 ▼

1. A system for measuring the diversification of a portfolio comprising: a computer processor; wherein said processor: (i) receives, as input, a portfolio comprising a plurality of assets;(ii) weights each of the plurality of assets within the portfolio according to an investment value allocated to each of said assets;(iii) defines a relationship between each of the plurality of assets by correlating each of the plurality of assets within the portfolio;(iv) models the portfolio in a geometric space by stretching a vector length associated with each of said plurality of assets in the portfolio in proportion to its concentration and contribution to the portfolio while retaining a set of orientations associated with said correlating step;(v) determines a polytope based on the modeling step associated with the portfolio; and(vi) compares said polytope to a symmetrical model to determine a diversification value; wherein the polytope represents the portfolio whose assets are associated with the vector lengths which are stretched in the modeling step. 2. The system of claim 1, wherein comparing the polytope to a symmetrical model to determine a diversification value comprises calculating a sphericity value for the polytope. 3. A method comprising: a) receiving a portfolio defined by a set of asset data input through an input device, wherein the portfolio defined by the set of asset data comprises a plurality of assets;b) performing a step taken from a set of steps consisting of: i) computing relationships within the set of asset data;ii) receiving relationships within the set of asset data;c) weighting each of the plurality of assets within the portfolio according to an investment value allocated to each of said assets;d) modeling the portfolio in a geometric space with vectors representing each of the plurality of assets, the vectors having lengths stretched based on the weights for each of the plurality of assets;e) via a processor, applying a Karhunen-Loève expansion process to the portfolio;f) determining a dimension of the portfolio based on applying the Karhunen-Loève expansion process; andg) determining a diversification value for the portfolio based on the determined dimension for the portfolio. 4. The method of claim 3, wherein the diversification value for the portfolio is the ratio of a Karhunen-Loève dimension for the portfolio and the spanning dimension of the portfolio. 5. The method of claim 3, further comprising publishing the diversification value. 6. The method of claim 5, wherein publishing the diversification value comprises storing the diversification value for use by other systems. 7. The method of claim 3, further comprising analyzing the portfolio based on the Karhunen-Loève dimension spectrum. 8. The method of claim 3, wherein the diversification value for the portfolio is a count of rank ordered eigenassets commensurate with an inputted interval. 9. The method of claim 3 further comprising scoring diversification of systemic risks by determining a percentage of portfolio energy content consumed within a first numbered dimension. 10. The method of claim 3, further comprising scoring diversification of systemic risks by evaluating the Karhunen-Loève dimension spectrum. 11. The method of claim 3, wherein determining the diversification value for the portfolio comprises analyzing systemic risk by evaluating a ratio of two Karhunen-Loève dimensions taken at two different confidence intervals.

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IPC	Description
A	생활필수품
A62	인명구조; 소방(사다리 E06C)
A62B	인명구조용의 기구, 장치 또는 방법(특히 의료용에 사용되는 밸브 A61M 39/00; 특히 물에서 쓰이는 인명구조 장치 또는 방법 B63C 9/00; 잠수장비 B63C 11/00; 특히 항공기에 쓰는 것, 예. 낙하산, 투출좌석 B64D; 특히 광산에서 쓰이는 구조장치 E21F 11/00)
A62B-1/08	.. 윈치 또는 풀리에 제동기구가 있는 것

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Diversification measurement and analysis system 원문보기

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Diversification measurement and analysis system 원문보기

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