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    • 3. 发明申请
    • INDEXING METHOD FOR INVESTMENT DATA MANAGEMENT
    • 投资数据管理指标方法
    • WO2002095639A2
    • 2002-11-28
    • PCT/IB2002/003349
    • 2002-05-16
    • YIP, Kenneth
    • YIP, Kenneth
    • G06F17/60
    • G06Q40/04
    • A method and system for dynamic, passive investment management involves selecting a number of clusters into which a plurality of selected assets are organized, investing in those clustered assets with a predefined weighting of assets within clusters and of the clusters themselves, periodically rebalancing the investments within each cluster and between the clusters, and periodically reconstituting the clusters, though not necessarily coincidentally with their rebalancing. The number of clusters is determined by the number of largest principal components sufficient to explain most of the variance of the sample covariance matrix of returns, leaving only little random variability. Correlation of asset returns within clusters is preferably comparatively high, while correlation of cluster returns is preferably comparatively low.
    • 一种用于动态,被动投资管理的方法和系统包括选择多个选定资产组织到其中的多个集群,在集群和集群本身中对资产进行预定义权重投资于这些集群资产,周期性地对投资进行重新平衡 每个集群和集群之间,并定期重组集群,虽然不一定与他们的重新平衡巧合。 簇的数量由足以解释样本协方差矩阵的大部分方差的最大主分量的数量确定,只剩下很少的随机变异性。 群集内资产回报的相关性优选较高,而集群收益的相关性优选较低。
    • 5. 发明申请
    • METHODS AND SYSTEMS FOR PREFERENCE-BASED DYNAMIC PASSIVE INVESTING
    • 用于基于偏好的动态被动投资的方法和系统
    • WO2002093322A2
    • 2002-11-21
    • PCT/US2002/015783
    • 2002-05-16
    • YIP, Kenneth
    • YIP, Kenneth
    • G06F
    • G06Q40/06
    • A method and system for dynamic, passive investment management involves selecting a number of clusters into which a plurality of selected assets are organized, investing in those clustered assets with a predefined weighting of assets within clusters and of the clusters themselves, periodically rebalancing the investments within each cluster and between the clusters, and periodically reconstituting the clusters, through not necessarily coincidentally with their rebalancing. The number of clusters is determined by the number of largest principal components sufficient to explain most of the variance of the sample covariance matrix of returns, leaving only little random variability. Correlation of asset returns within clusters is preferably comparatively high, while correlation of cluster returns is preferably comparatively low.
    • 一种用于动态,被动投资管理的方法和系统包括选择多个选定资产组织到其中的多个集群,在集群和集群本身中对资产进行预定义权重投资于这些集群资产,周期性地对投资进行重新平衡 每个集群和集群之间,并定期重组集群,不一定与他们的重新平衡巧合。 簇的数量由足以解释样本协方差矩阵的大部分方差的最大主分量的数量确定,只剩下很少的随机变异性。 群集内资产回报的相关性优选较高,而集群收益的相关性优选较低。