The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Jul. 13, 2010
Filed:
Dec. 18, 2006
Ron S. Dembo, Toronto, CA;
Helmut Mausser, Toronto, CA;
Ron S. Dembo, Toronto, CA;
Helmut Mausser, Toronto, CA;
Research In Motion Limited, Waterloo, Ontario, CA;
Abstract
A system and method for valuing a portfolio in terms of its performance relative to a specified benchmark under a range of future scenarios is disclosed. In particular, a portfolio is taken and two values related to the portfolio are calculated: the first value corresponding to an amount by which the value of the portfolio is expected to fall below the value of a benchmark over a given time horizon, and a second value corresponding to an amount by which the value of the portfolio is expected to exceed the value of a benchmark over a given time horizon, in view of the range of different future scenarios. Means for determining the portfolio which optimally trades-off these two values, and to evaluate risk/reward performance measures using these two values which can be used to rank instruments, securities or portfolios are disclosed. Means for pricing portfolio insurance for optimal portfolios are also disclosed.