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    • 2. 发明申请
    • DIVERSIFICATION MEASUREMENT AND ANALYSIS SYSTEM
    • 多样化测量与分析系统
    • US20120221484A1
    • 2012-08-30
    • US13411764
    • 2012-03-05
    • James Eric DamschroderJosh Samuel Ladd
    • James Eric DamschroderJosh Samuel Ladd
    • G06Q40/06
    • G06Q40/06G06Q40/00G06Q40/025
    • This disclosure details methods for measuring and analyzing diversification of portfolio of assets. A dimension is a logical and quantitative means to measure diversification. As the number of dimensions increases so does diversification. Strong asset correlations among each other detract from the notion of independence. A positive correlation increases risks and is therefore undesirable. Assets are embedded into a high dimensional Euclidean vector space. The entire portfolio is interpreted as a set of points whose ambient dimension is the number of assets in the portfolio. The Karhunen-Loève expansion is used to quantify the KL dimension of the geometric object induced by a portfolio. The associated dimension is taken as the measure of diversification accounts for both the number of assets and the commonality within them. This ensures that measuring diversification as a dimension accounts for the complete diversification affect of the portfolio and is thus a valuable portfolio management tool.
    • 本披露详细介绍了衡量和分析资产组合多样化的方法。 维度是衡量多元化的逻辑和量化手段。 随着维度的增加,多样化也会增加。 彼此之间的强大的资产相关性有损于独立性的概念。 正相关增加风险,因此是不合需要的。 资产被嵌入到高维欧几里德向量空间中。 整个投资组合被解释为一组点,其环境维度是投资组合中资产的数量。 Karhunen-Loève扩展用于量化由投资组合引起的几何对象的KL维度。 相关维度被视为衡量资产数量和共同性的多元化。 这确保了衡量多元化作为一个维度,这是投资组合的完全多样化影响,因此是一个有价值的投资组合管理工具。
    • 4. 发明申请
    • DIVERSIFICATION MEASUREMENT AND ANALYSIS SYSTEM
    • 多样化测量与分析系统
    • US20090292648A1
    • 2009-11-26
    • US12417713
    • 2009-04-03
    • James Eric DamschroderJosh Samuel Ladd
    • James Eric DamschroderJosh Samuel Ladd
    • G06Q40/00
    • G06Q40/06G06Q40/00G06Q40/025
    • This disclosure details methods for measuring and analyzing diversification of portfolio of assets. A dimension is a logical and quantitative means to measure diversification. As the number of dimensions increases so does diversification. Strong asset correlations among each other detract from the notion of independence. A positive correlation increases risks and is therefore undesirable. Assets are embedded into a high dimensional Euclidean vector space. The entire portfolio is interpreted as a set of points whose ambient dimension is the number of assets in the portfolio. The Karhunen-Loève expansion is used to quantify the KL dimension of the geometric object induced by a portfolio. The associated dimension is taken as the measure of diversification accounts for both the number of assets and the commonality within them. This ensures that measuring diversification as a dimension accounts for the complete diversification affect of the portfolio and is thus a valuable portfolio management tool.
    • 本披露详细介绍了衡量和分析资产组合多样化的方法。 维度是衡量多元化的逻辑和量化手段。 随着维度的增加,多样化也会增加。 彼此之间的强大的资产相关性有损于独立性的概念。 正相关增加风险,因此是不合需要的。 资产被嵌入到高维欧几里德向量空间中。 整个投资组合被解释为一组点,其环境维度是投资组合中资产的数量。 Karhunen-Loève扩展用于量化由投资组合引起的几何对象的KL维度。 相关维度被视为衡量资产数量和共同性的多元化。 这确保了衡量多元化作为一个维度,这是投资组合的完全多样化影响,因此是一个有价值的投资组合管理工具。
    • 5. 发明授权
    • Diversification measurement and analysis system
    • 多元化测量与分析系统
    • US08156030B2
    • 2012-04-10
    • US12417713
    • 2009-04-03
    • James Eric DamschroderJosh Samuel Ladd
    • James Eric DamschroderJosh Samuel Ladd
    • G06Q40/00
    • G06Q40/06G06Q40/00G06Q40/025
    • This disclosure details methods for measuring and analyzing diversification of portfolio of assets. A dimension is a logical and quantitative means to measure diversification. As the number of dimensions increases so does diversification. Strong asset correlations among each other detract from the notion of independence. A positive correlation increases risks and is therefore undesirable. Assets are embedded into a high dimensional Euclidean vector space. The entire portfolio is interpreted as a set of points whose ambient dimension is the number of assets in the portfolio. The Karhunen-Loève expansion is used to quantify the KL dimension of the geometric object induced by a portfolio. The associated dimension is taken as the measure of diversification accounts for both the number of assets and the commonality within them. This ensures that measuring diversification as a dimension accounts for the complete diversification affect of the portfolio and is thus a valuable portfolio management tool.
    • 本披露详细介绍了衡量和分析资产组合多样化的方法。 维度是衡量多元化的逻辑和量化手段。 随着维度的增加,多样化也会增加。 彼此之间的强大的资产相关性有损于独立性的概念。 正相关增加风险,因此是不合需要的。 资产被嵌入到高维欧几里德向量空间中。 整个投资组合被解释为一组点,其环境维度是投资组合中资产的数量。 Karhunen-Loève扩展用于量化由投资组合引起的几何对象的KL维度。 相关维度被视为衡量资产数量和共同性的多元化。 这确保了衡量多元化作为一个维度,这是投资组合的完全多样化的影响,因此是一个有价值的投资组合管理工具。