Patents by Inventor Attilio Meucci

Attilio Meucci has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • Systems and Methods for Portfolio Analysis
    Publication number: 20140114881
    Abstract: In one aspect, the invention comprises a computer-implemented method comprising: (i) electronically receiving data describing one or more risk factors driving volatility of each of a plurality of securities comprised in a specified portfolio; (ii) for each of the plurality of securities, categorizing each of the risk factors as a random variable and identifying a distribution that best fits each risk factor's historical behavior; and generating a return distribution for the security, based on the best fit distributions; and (iii) aggregating the security return distributions to generate a return distribution for in the specified portfolio. Other aspects and embodiments comprise analogous software and computer systems.
    Type: Application
    Filed: September 30, 2013
    Publication date: April 24, 2014
    Applicant: Barclays Capital Inc.
    Inventor: Attilio Meucci
  • Systems and methods for portfolio analysis
    Patent number: 8548884
    Abstract: In one aspect, the invention comprises a computer-implemented method comprising: (i) electronically receiving data describing one or more risk factors driving volatility of each of a plurality of securities comprised in a specified portfolio; (ii) for each of the plurality of securities, categorizing each of the risk factors as a random variable and identifying a distribution that best fits each risk factor's historical behavior; and generating a return distribution for the security, based on the best fit distributions; and (iii) aggregating the security return distributions to generate a return distribution for the specified portfolio. Other aspects and embodiments comprise analogous software and computer systems.
    Type: Grant
    Filed: July 2, 2008
    Date of Patent: October 1, 2013
    Assignee: Barclays Capital Inc.
    Inventor: Attilio Meucci
  • SYSTEMS AND METHODS FOR PORTFOLIO ANALYSIS
    Publication number: 20090112774
    Abstract: In one aspect, the invention comprises a computer-implemented method comprising: (i) electronically receiving data describing one or more risk factors driving volatility of each of a plurality of securities comprised in a specified portfolio; (ii) for each of the plurality of securities, categorizing each of the risk factors as a random variable and identifying a distribution that best fits each risk factor's historical behavior; and generating a return distribution for the security, based on the best fit distributions; and (iii) aggregating the security return distributions to generate a return distribution for the specified portfolio. Other aspects and embodiments comprise analogous software and computer systems.
    Type: Application
    Filed: July 2, 2008
    Publication date: April 30, 2009
    Applicant: Lehman Brothers Inc.
    Inventor: Attilio Meucci