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:
Dec. 18, 2012
Filed:
Aug. 12, 2011
Jeremiah H. Chafkin, Chestnut Hill, MA (US);
Andrew W. Lo, Weston, MA (US);
Robert W. Sinnott, Boston, MA (US);
Jeremiah H. Chafkin, Chestnut Hill, MA (US);
Andrew W. Lo, Weston, MA (US);
Robert W. Sinnott, Boston, MA (US);
Alphasimplex Group, LLC, Cambridge, MA (US);
Abstract
Computer based systems and program controlled methods reduce 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, in part, 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.