Managing security holdings risk during portfolio trading
US8032441B2 · kind B2 · utility
Assignee
Inventors
Key dates
| Filing date | Jun 7, 2007 |
| Grant date | Oct 4, 2011 |
| Priority date | — |
| Expiry date | Apr 19, 2030 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/08
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
The present invention provides methods and systems for managing short-term risk to a portfolio of securities holdings while executing an outstanding trade list. The methods and systems may include steps of determining covariances between securities in the outstanding trade list and securities in the portfolio of holdings; receiving a risk variable, at least one constraint on the execution of a trade, and a proposed quantity representing a portion of said outstanding trade list desired to be executed at a particular time; and determining an immediately executable trade list based at least in part on the covariances and risk variable. The executable trade list must satisfy all of the trade constraints and also must be substantially equal to or less then the proposed quantity.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.