WO2002080435A3 - Index selection method - Google Patents

Index selection method Download PDF

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Publication number
WO2002080435A3
WO2002080435A3 PCT/US2002/009061 US0209061W WO02080435A3 WO 2002080435 A3 WO2002080435 A3 WO 2002080435A3 US 0209061 W US0209061 W US 0209061W WO 02080435 A3 WO02080435 A3 WO 02080435A3
Authority
WO
WIPO (PCT)
Prior art keywords
universe
instrument
index
selection method
variance
Prior art date
Application number
PCT/US2002/009061
Other languages
French (fr)
Other versions
WO2002080435A2 (en
Inventor
John Patrick Mcintyre Jr
Leon L Yang
Original Assignee
Morgan Stanley
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Morgan Stanley filed Critical Morgan Stanley
Priority to EP02709876A priority Critical patent/EP1386267A4/en
Priority to JP2002577320A priority patent/JP2004530204A/en
Priority to AU2002244333A priority patent/AU2002244333A1/en
Publication of WO2002080435A2 publication Critical patent/WO2002080435A2/en
Publication of WO2002080435A3 publication Critical patent/WO2002080435A3/en

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes

Abstract

A method for forming an index in which a universe of N instruments is initially defined (1). In a second step, a covariance matrix is assigned to the universe (2). In a third step, one of the instruments from the universe is removed (4). In a fourth step, a residual variance of the remaining universe is calculated (5). In a fifth step, the removed instrument is reinstated into the universe (6). Next, steps three through five of the method are repeated N-1 times. In a sixth step, the removed instrument for which the residual variance is minimized is inserted into the index (8). In a seventh step, the removed instrument for which the residual variance is minimized is eliminated from the universe (10). In an eighth step, variance of each instrument in the remaining instrument is recalculated by replacing it with its residual variance (11). Finally, the third through eighth steps are repeated until the index is formed (12).
PCT/US2002/009061 2001-03-28 2002-03-22 Index selection method WO2002080435A2 (en)

Priority Applications (3)

Application Number Priority Date Filing Date Title
EP02709876A EP1386267A4 (en) 2001-03-28 2002-03-22 Index selection method
JP2002577320A JP2004530204A (en) 2001-03-28 2002-03-22 Index selection method
AU2002244333A AU2002244333A1 (en) 2001-03-28 2002-03-22 Index selection method

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US09/819,304 2001-03-28
US09/819,304 US7469223B2 (en) 2001-03-28 2001-03-28 Index selection method

Publications (2)

Publication Number Publication Date
WO2002080435A2 WO2002080435A2 (en) 2002-10-10
WO2002080435A3 true WO2002080435A3 (en) 2003-05-01

Family

ID=25227773

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2002/009061 WO2002080435A2 (en) 2001-03-28 2002-03-22 Index selection method

Country Status (5)

Country Link
US (1) US7469223B2 (en)
EP (1) EP1386267A4 (en)
JP (1) JP2004530204A (en)
AU (1) AU2002244333A1 (en)
WO (1) WO2002080435A2 (en)

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Also Published As

Publication number Publication date
US20020184126A1 (en) 2002-12-05
EP1386267A2 (en) 2004-02-04
US7469223B2 (en) 2008-12-23
AU2002244333A1 (en) 2002-10-15
WO2002080435A2 (en) 2002-10-10
JP2004530204A (en) 2004-09-30
EP1386267A4 (en) 2007-06-06

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