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Portfolio structuring using low-discrepancy deterministic sequences

Summary: Lead Inventors: Joseph F. TraubMethod and system for structuring a portfolio including assets/liabilities such as real estate, stocks, bonds, futures, options, collateralized mortgage obligations, single-premium deferred annuities and insurance contracts are described.The method and system comprises of deriving a multivariate integrand which when integrated represents an estimated value of the complex security. A computer calculates integrand values at points in the domain of integration which are obtained from a low-discrepancy deterministic sequence. Based on a total value which includes the estimated value, one of buying, holding and selling the complex security is effected.Significant advantages like speed, accuracy and dependability are provided by this method and system.

Detailed Technology Description: Method and system for structuring a portfolio including assets/liabilities such as real estate, stocks, bonds, futures, options, collateralized mortgage obligations, single-premium deferred annuities and insurance contracts are described.The me...

*Abstract: None

*Inquiry: Calvin Chu Columbia Technology Ventures Tel: (212) 854-8444 Email: TechTransfer@columbia.edu

*IR: MS94/01/26

*Principal Investigator

*Web Links: http://www.columbia.edu/cu/record21/record2108.18.htmlPatent number: CA2280476

Country/Region: USA

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