METHOD AND APPARATUS FOR COMPUTING THE RELATIVE RISK OF FINANCIAL ASSETS USING RISK-RETURN PROFILES

摘要

Embodiments are described for a system and method for comparing risk associated with a financial asset by creating a risk-return profile for the first asset and a risk profile for the second asset over a defined time period having a plurality of asset holding times, calculating an average negative total return of each of the first and second assets for each of the plurality of asset holding times, calculating a worst case total return of each of the first and second assets for each of the plurality of asset holding times, and calculating a percentile total return each of the first and second assets for each of the plurality of asset holding times.