首页>
外国专利>
COMPUTER IMPLEMENTED RISK MANAGED TREND INDICES
COMPUTER IMPLEMENTED RISK MANAGED TREND INDICES
展开▼
机译:计算机实施的风险管理趋势指标
展开▼
页面导航
摘要
著录项
相似文献
摘要
The present invention provides for computer based systems and program controlled methods for reducing investors' exposure to the variability of an asset class's short-term volatility using rules-based long-only investments in various asset classes in which portfolio weights are dynamically rebalanced on a regular basis to a desired target volatility. This is achieved by constructing an index that represents a portfolio of liquid futures contracts, rebalanced as often as daily with the objective of maintaining the portfolio's volatility at a given level, typically the long-term average risk of that asset class. The index therefore is expected to exhibit relatively stable risk at all times when compared to the asset class's risk levels including during periods of high market volatility.
展开▼