Josh S Ladd

US Patent:

20090292648, Nov 26, 2009

Filed:

Apr 3, 2009

Appl. No.:

12/417713

Inventors:

James Eric Damschroder - Denver CO, US
Josh Samuel Ladd - Knoxville TN, US

International Classification:

G06Q 40/00

US Classification:

705 36 R

Abstract:

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.

US Patent:

20120221484, Aug 30, 2012

Filed:

Mar 5, 2012

Appl. No.:

13/411764

Inventors:

James Eric Damschroder - Denver CO, US
Josh Samuel Ladd - Knoxville TN, US

Assignee:

Gravity Investments LLC - Denver CO

International Classification:

G06Q 40/06

US Classification:

705 36 R

Abstract:

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.