 |
|
|
|
|
|
 Title: |
US6058377:
Portfolio structuring using low-discrepancy deterministic sequences
[ Derwent Title ]
|
| Country: |
US United States of America
|
| |
| Inventor: |
Traub, Joseph F.; New York, NY
Paskov, Spassimir; Scarsdale, NY
Vanderhoof, Irwin F.; Towaco, NJ
Papageorgiou, Anargyros; New York, NY
|
| Assignee: |
The Trustees of Columbia University in the City of New York, New York, NY
other patents from COLUMBIA UNIVERSITY (112155) (approx. 555)
News, Profiles, Stocks and More about this company
|
| Published / Filed: |
2000-05-02
/ 1998-02-09
|
| Application Number: |
US1998000020733
|
| IPC Code: |
Advanced:
G06Q 40/00;
Core:
more...
IPC-7:
G06F 17/60;
|
| ECLA Code: |
G06Q40/00A; G06Q40/00D;
|
| U.S. Class: |
Current:
705/036.R;
705/035;
705/038;
Original:
705/036;
705/035;
705/038;
|
| Field of Search: |
705/035,36,38
|
| Government Interest: |
The United States Government has certain rights to this invention pursuant to grants CCR-91-14042 and IRI-92-12597 awarded by the National Science Foundation, and to grant AFOSR-91-0347 awarded by the U.S. Air Force.
|
| Priority Number: |
|
| Abstract: |
In securities valuation, in setting the initial offering price of a financial instrument, or in later revaluation as financial parameters such as interest rates may change, an estimate of the value of the instrument may be represented as a multi-dimensional integral. For evaluation of the integral, numerical integration is preferred with the integrand being sampled at deterministic points having a low-discrepancy property. The technique produces approximate values at significant computational savings and with greater reliability as compared with the Monte Carlo technique. Further to estimating the value of a complex security, sampling at points of a low-discrepancy deterministic sequence can be used in estimating value at risk in portfolio structuring.
|
| Attorney, Agent or Firm: |
Baker & Botts, L.L.P. ;
|
| Primary / Asst. Examiners: |
MacDonald, Allen R.; Meinecke-Diaz, Susanna
|
| INPADOC Legal Status: |
Show legal status actions
Family Legal Status Report
|
|
|
|
|
|
|
| Related Applications: |
| Application Number |
Filed |
Patent |
Pub. Date |
Title |
|---|
| US1997000902921 | 1997-07-30 |
|
|
|
| US1994000285902 | 1994-08-04 |
|
|
|
|
|
|
|
|
|
|
| Parent Case: |
This application is a continuation-in-part of pending application Ser. No. 08/902,921, still pending, which was filed Jul. 30, 1997 as a continuation application of now-abandoned application Ser. No. 08/285,902 filed Aug. 4, 1994.
|
| Family: |
Show 6 known family members
|
First Claim:
Show all 18 claims |
We claim:
1. A method for structuring a portfolio, comprising:
- (i) calculating, by computer, a number of potential-loss function values at points in a domain of stochastic market factors, the points being obtained from a low-discrepancy deterministic sequence;
- (ii) determining a cumulative distribution function of the function values;
- (iii) determining value at risk as one of the function values corresponding to a specified level of confidence; and
- (iv) structuring the portfolio depending on a comparison of the value at risk with a specified target value.
|
| Background / Summary: |
Show background / summary
|
| Drawing Descriptions: |
Show drawing descriptions
|
| Description: |
Show description
|
| Forward References: |
Show 27 U.S. patent(s) that reference this one
|
|
Nominate this for the Gallery...
