Abstract: A method for identifying a regime-based asset allocation via an adaptive risk premium (ARP) involves receiving a financial data; receiving financial parameters; generating an ARP; determining risk regimes; calculating an expected return and a covariance matrix of assets; calculating a number of calculated weights for each risk regime; determining a current risk regime; determining a number of asset weights of a current portfolio; adjusting the asset weights of the current portfolio to match the calculated weights for the current risk regime; calculating a momentum, volatility, and a correlation (MVC) for each of the asset classes of the current portfolio; ranking each asset class of the current portfolio; adjusting the first adjusted asset weights of the current portfolio; determining one of the second adjusted asset weights for the current portfolio; and generating an investment portfolio based on one of the second adjusted asset weights for the current portfolio.
Type:
Grant
Filed:
September 24, 2010
Date of Patent:
April 2, 2013
Assignee:
Quantitative Management Associates LLC
Inventors:
Theodore James Lockwood, John A. Hudock