CA2236169A1 - Appareil et procedes associes pour modifier automatiquement un portefeuille financier par reajustement dynamique, en utilisant une fonction non constante des poids des capitalisations en cours - Google Patents
Appareil et procedes associes pour modifier automatiquement un portefeuille financier par reajustement dynamique, en utilisant une fonction non constante des poids des capitalisations en cours Download PDFInfo
- Publication number
- CA2236169A1 CA2236169A1 CA 2236169 CA2236169A CA2236169A1 CA 2236169 A1 CA2236169 A1 CA 2236169A1 CA 2236169 CA2236169 CA 2236169 CA 2236169 A CA2236169 A CA 2236169A CA 2236169 A1 CA2236169 A1 CA 2236169A1
- Authority
- CA
- Canada
- Prior art keywords
- security
- securities
- portfolio
- cash
- index
- Prior art date
- Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
- Abandoned
Links
Classifications
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/02—Banking, e.g. interest calculation or account maintenance
-
- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/06—Asset management; Financial planning or analysis
Abstract
L'invention concerne un appareil et des procédés pour modifier automatiquement un portefeuille ayant une assiette de placements prédéfinie, par exemple un fonds indiciel. Selon ces procédés, on suit un indice de capitalisation pondéré déterminé, pour effectuer un réajustement dynamique de la position tenue pour chaque type de placement. Plus particulièrement, dans un système ordinateur (50, 60), un poids cible est attribué à chaque placement, par rapport aux autres placements du portefeuille, qui est proportionnel à une fonction non constante des poids des capitalisations en cours, correspondant aux placements du fond indiciel. Une fois ces poids cibles déterminés, le système va utiliser les poids cibles de chaque placement et un poids réel, comme par exemple la proportion du portefeuille dans laquelle ce placement est tenu à ce moment, pour provoquer une transaction pour adapter, dans une bande prédéfinie, le poids réel au poids visé, en réajustant la composition du portefeuille. Le système peut fonctionner de manière sélective dans l'un ou l'autre des modes suivants: en mode de rééquilibrage dynamique consistant à calculer de nouveaux poids cibles et à effectuer des transactions appropriées ou en mode d'investissement de liquidités consistant à initier une ou plusieurs transactions, pour absorber l'excès de liquidités du portefeuille.
Applications Claiming Priority (6)
Application Number | Priority Date | Filing Date | Title |
---|---|---|---|
US869895P | 1995-12-15 | 1995-12-15 | |
US60/008,698 | 1995-12-15 | ||
US2111696P | 1996-07-03 | 1996-07-03 | |
US60/021,116 | 1996-07-03 | ||
US08/764,232 | 1996-12-13 | ||
US08/764,232 US5819238A (en) | 1996-12-13 | 1996-12-13 | Apparatus and accompanying methods for automatically modifying a financial portfolio through dynamic re-weighting based on a non-constant function of current capitalization weights |
Publications (1)
Publication Number | Publication Date |
---|---|
CA2236169A1 true CA2236169A1 (fr) | 1997-06-19 |
Family
ID=27358677
Family Applications (1)
Application Number | Title | Priority Date | Filing Date |
---|---|---|---|
CA 2236169 Abandoned CA2236169A1 (fr) | 1995-12-15 | 1996-12-13 | Appareil et procedes associes pour modifier automatiquement un portefeuille financier par reajustement dynamique, en utilisant une fonction non constante des poids des capitalisations en cours |
Country Status (5)
Country | Link |
---|---|
EP (1) | EP0867009A1 (fr) |
JP (1) | JP2002502514A (fr) |
AU (1) | AU1343297A (fr) |
CA (1) | CA2236169A1 (fr) |
WO (1) | WO1997022075A1 (fr) |
Families Citing this family (22)
Publication number | Priority date | Publication date | Assignee | Title |
---|---|---|---|---|
US6393409B2 (en) | 1997-10-31 | 2002-05-21 | Morgan Stanley Dean Witter & Co. | Computer method and apparatus for optimizing portfolios of multiple participants |
US6594643B1 (en) * | 1997-11-14 | 2003-07-15 | Charles C. Freeny, Jr. | Automatic stock trading system |
US6806977B1 (en) | 1998-12-31 | 2004-10-19 | Automated Business Companies | Multiple integrated machine system |
EP1183633A2 (fr) | 1999-06-03 | 2002-03-06 | Algorithmics International Corp. | Systeme et procede de gestion de risques servant a fournir une evolution de portefeuille d'instruments basee sur des regles |
US7870051B1 (en) * | 1999-07-01 | 2011-01-11 | Fmr Llc | Selecting investments for a portfolio |
CA2390087A1 (fr) | 1999-11-18 | 2001-05-25 | Netstock Corportion | Service informatise d'investissement sur des titres regroupes |
AU2001251372B2 (en) * | 2000-04-07 | 2006-06-29 | Pershing | Rules based securities order processing |
AU2001261282A1 (en) * | 2000-05-09 | 2001-11-20 | Roger Alcaly | A method and system for generating an index of investment returns |
US7379909B1 (en) | 2000-10-04 | 2008-05-27 | Tradestation Technologies, Inc. | System, method and apparatus for monitoring and execution of entry and exit orders |
JP2002312649A (ja) * | 2001-04-11 | 2002-10-25 | Fukushima Printing Co Ltd | ウェッブを利用したプリント・オン・デマンド受注生産管理システムおよびその方法 |
JP4365208B2 (ja) * | 2001-06-19 | 2009-11-18 | ゴールドマン サックス アンド カンパニー | 外国為替カバードワラントシステムおよび組成 |
US8374951B2 (en) | 2002-04-10 | 2013-02-12 | Research Affiliates, Llc | System, method, and computer program product for managing a virtual portfolio of financial objects |
US8005740B2 (en) * | 2002-06-03 | 2011-08-23 | Research Affiliates, Llc | Using accounting data based indexing to create a portfolio of financial objects |
US8374937B2 (en) | 2002-04-10 | 2013-02-12 | Research Affiliates, Llc | Non-capitalization weighted indexing system, method and computer program product |
US7747502B2 (en) | 2002-06-03 | 2010-06-29 | Research Affiliates, Llc | Using accounting data based indexing to create a portfolio of assets |
US7792719B2 (en) | 2004-02-04 | 2010-09-07 | Research Affiliates, Llc | Valuation indifferent non-capitalization weighted index and portfolio |
US8589276B2 (en) | 2002-06-03 | 2013-11-19 | Research Afiliates, LLC | Using accounting data based indexing to create a portfolio of financial objects |
US8639604B1 (en) | 2004-10-26 | 2014-01-28 | Invest N Retire, LLC | System and method for managing tax-deferred retirement accounts |
US7818246B2 (en) * | 2005-04-05 | 2010-10-19 | Barclays Capital Inc. | Systems and methods for order analysis, enrichment, and execution |
US8065217B2 (en) | 2008-02-12 | 2011-11-22 | Bids Trading, L.P. | Real-time portfolio balancing and/or optimization system and method |
AU2012298732A1 (en) * | 2011-08-23 | 2014-02-27 | Research Affiliates, Llc | Using accounting data based indexing to create a portfolio of financial objects |
CN106462898A (zh) * | 2014-01-23 | 2017-02-22 | 洛卡有限公司 | 投资证券的分层综合投资组合 |
Family Cites Families (4)
Publication number | Priority date | Publication date | Assignee | Title |
---|---|---|---|---|
US5101353A (en) * | 1989-05-31 | 1992-03-31 | Lattice Investments, Inc. | Automated system for providing liquidity to securities markets |
IE60553B1 (en) * | 1989-12-21 | 1994-07-27 | Paxlea Limited | A computer system for portfolio management investment functions |
DE69331452T2 (de) * | 1992-06-10 | 2003-05-28 | Cfph Llc | Datenprozessor für Wertpapier mit festem Einkommen und Verfahren um diesen zu benutzen |
EP0686926A3 (fr) * | 1994-05-24 | 1996-06-12 | Ron S Dembo | Procédé et appareil pour la duplication optimale de portefeuilles |
-
1996
- 1996-12-13 CA CA 2236169 patent/CA2236169A1/fr not_active Abandoned
- 1996-12-13 AU AU13432/97A patent/AU1343297A/en not_active Abandoned
- 1996-12-13 EP EP96944955A patent/EP0867009A1/fr not_active Withdrawn
- 1996-12-13 JP JP52229097A patent/JP2002502514A/ja active Pending
- 1996-12-13 WO PCT/US1996/020469 patent/WO1997022075A1/fr not_active Application Discontinuation
Also Published As
Publication number | Publication date |
---|---|
JP2002502514A (ja) | 2002-01-22 |
EP0867009A1 (fr) | 1998-09-30 |
AU1343297A (en) | 1997-07-03 |
WO1997022075A1 (fr) | 1997-06-19 |
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Legal Events
Date | Code | Title | Description |
---|---|---|---|
EEER | Examination request | ||
FZDE | Dead |