Invention Grant
- Patent Title: Portfolio hedging method
- Patent Title (中): 投资组合对冲方法
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Application No.: US09863148Application Date: 2001-05-22
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Publication No.: US07805353B2Publication Date: 2010-09-28
- Inventor: John A. C. Woodley
- Applicant: John A. C. Woodley
- Applicant Address: US NY New York
- Assignee: Morgan Stanley
- Current Assignee: Morgan Stanley
- Current Assignee Address: US NY New York
- Agency: Weitzman Law Offices, LLC
- Main IPC: G06Q40/00
- IPC: G06Q40/00

Abstract:
A method and system is provided by which an entity manages an exposure to an economic risk associated with a commodity and initially includes the step of modeling the exposure to the risk using financial instruments such as forward contracts and option contracts. Next, a hedge for the exposure is executed. Liquidated cash flows, that are based on the modeled exposure and said hedge, are periodically calculated. If liquidated cash flows are positive, a payout is provided to the entity while a payout is received from the entity if the liquidated cash flows are negative. In an exemplary embodiment, the liquidated cash flows are marked to the market.
Public/Granted literature
- US20020178111A1 Portfolio hedging method Public/Granted day:2002-11-28
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