DR. RICHARD ALLEN MARTIN, M.D.
Osteopathic Medicine at 9 Ave, Seattle, WA
License number
Washington ME49914
Category
Osteopathic Medicine
Type
Emergency Medicine
Address
Address
600 9Th Ave #206, Seattle, WA 98104
Phone
(206) 726-9115
Professional information
System And Method For Providing Optimization Of A Financial Portfolio Using A Parametric Leptokurtic Distribution
US Patent:
7711617, May 4, 2010
Filed:
Jul 9, 2004
Appl. No.:
10/888414
Inventors:
Svetlozar Todorov Rachev - Santa Barbara CA, US
Boryana Svetlozarova Racheva-Iotova - Sofia, BG
Stoyan Veselinov Stoyanov - Targovishte, BG
Richard Douglas Martin - Seattle WA, US
Boryana Svetlozarova Racheva-Iotova - Sofia, BG
Stoyan Veselinov Stoyanov - Targovishte, BG
Richard Douglas Martin - Seattle WA, US
Assignee:
FinAnalytica, Inc. - Seattle WA
International Classification:
G06Q 40/00
US Classification:
705 35, 705 36 R, 705 37
Abstract:
A system and method for providing optimization of a financial portfolio using a parametric leptokurtic distribution is presented. One or more risk factors associated with a plurality of financial assets maintained in a portfolio and applicable over at least one time horizon are provided. A subordinated parametric distribution model having leptokurtic behaviors is specified for the risk factors with a measurement of risk expressed as a function of expected tail loss for a significance level or quantile. The subordinated distribution model is applied at each such time horizon to determine a distribution of the risk factors for the financial assets. Portfolio weights providing a substantially maximum risk adjusted return for the portfolio are determined.
System And Method For Providing Reallocation And Reverse Optimization Of A Financial Portfolio Using A Parametric Leptokurtic Distribution
US Patent:
7890409, Feb 15, 2011
Filed:
May 3, 2010
Appl. No.:
12/772936
Inventors:
Svetlozar Todorov Rachev - Santa Barbara CA, US
Boryana S. Racheva-Iotova - Sofia, BG
Stoyan Veselinov Stoyanov - Targovishte, BG
Richard Douglas Martin - Seattle WA, US
Boryana S. Racheva-Iotova - Sofia, BG
Stoyan Veselinov Stoyanov - Targovishte, BG
Richard Douglas Martin - Seattle WA, US
Assignee:
FinAnalytica, Inc. - Seattle WA
International Classification:
G06Q 40/00
US Classification:
705 36R, 705 35, 705 37
Abstract:
A system and method for providing reallocation and reverse optimization of a financial portfolio using a parametric leptokurtic distribution are provided. A time series including risk factors applicable over at least one time horizon, a portfolio including financial assets, a quantile, and one or more risk adjusted return points for the financial assets is stored. The financial assets are associated with the risk factors. A subordinated parametric distribution model exhibiting leptokurtic behavior is generated. A function of expected tail loss for the quantile based on the subordinated parametric distribution model exhibiting leptokurtic behavior is expressed. A set of portfolio asset weight changes for each of the financial assets is determined based on the expected tail loss at each such time horizon and for each risk adjusted return point. Reallocation of the portfolio is provided based on the portfolio asset weight changes for each risk adjusted return point for the portfolio.
Richard Martin
Location:
Greater Seattle Area
Industry:
Broadcast Media