Minimizing security holdings risk during portfolio trading

Details Minimizing security holdings risk during portfolio trading Minimizing security holdings risk during portfolio trading

G - Physics

06

Q

G06Q 40/00 (2006.01)

Patent

CA 2517900

A method and computer program product for minimizing short-term risk to a portfolio of securities holdings during implementation of executing an outstanding trade list of securities to be traded, takes into account covariances between securities in the outstanding trade list and between securities in the outstanding trade list and securities in the portfolio of holdings so as to minimize risk to the portfolio of holdings as well as to a residual trade list of unexecuted orders during said implementation.

L'invention concerne un procédé et un produit programme d'ordinateur permettant de réduire au maximum les risques à court terme auxquels est exposé un portefeuille de valeurs détenues lors de la mise en oeuvre de l'exécution d'une liste de négociation en attente comportant des valeurs devant être négociées, avec prise en compte de covariances entre les valeurs de la liste de négociation en attente, et entre les valeurs de la liste de négociation en attente et les valeurs du portefeuille, de façon à réduire au maximum les risques auxquels sont exposés le portefeuille de valeurs et une liste de négociation restante comportant des ordres non exécutés lors de ladite mise en oeuvre.

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