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Computer based method for the determination of returns expected from investment portfolios, data processing system, server system and client system for the performance of the method and computer program product for the performance of the method
Computer based method for the determination of returns expected from investment portfolios, data processing system, server system and client system for the performance of the method and computer program product for the performance of the method
A computer-based method for automatic determination of expected surplus yield on capital from investment portfolios, involves repeating calculations of actual and/or long-term time-dependent risk, storing the risk premiums in a data bank, then determining one characteristic time-dependent risk profile for the investment portfolio, the risk profile describing the sensitivity of the asset classes of the portfolio relative to the predetermined systematic risk factors. The expected surplus yield on capital (Ri) of the assets classes of the investment portfolios is then determined according to a given relationship. Independent claims are given for the following: (A) A data processing system. (B) A client system for determining the expected surplus yields on capital. (C) A computer program product.
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