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公开(公告)号：US07657478B2
公开(公告)日：2010-02-02
申请号：US11333541
申请日：2006-01-18
IPC分类号： G06Q40/00
摘要： A method for estimating future cash flows of an investment instrument (or portfolio of investment instruments) is performed by simulating past performance (i.e., cash flows) similar instruments based on actual data of past performance, using the simulated past performance to generate a distribution of possible future performance outcomes of the investment instrument, and using the distribution of possible future performance outcomes to make estimates of the expected cash flow from the investment instrument. In one embodiment, cash flow time series of private equity funds (J-curves) are simulated for fully-liquidated vintage years by scaling an aggregate net cash flow time series from a plurality of fully liquidated funds for that vintage year. The time series is scaled by scalar coefficients calculated based on statistics of the four parameters, internal rate of return, money multiple, depth of curve, and speed to depth, of the aggregated vintage fund J-curves.
摘要翻译： 一种用于估计投资工具（或投资工具组合）的未来现金流量的方法是通过基于过去业绩的实际数据模拟过去绩效（即现金流量）类似工具，使用模拟的过去绩效来生成 投资工具可能的未来业绩成果，以及使用可能的未来业绩成果分配来估计投资工具的预期现金流量。 在一个实施例中，通过从该年份的多个完全流动资金中扩大总净现金流时间序列，对完全清算的年份年份模拟了现金流时间序列的私募股权基金（J曲线）。 该时间序列通过根据累积老式基金J曲线的四个参数，内部收益率，货币倍数，曲线深度和速度到深度的统计量计算的标量系数进行缩放。
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公开(公告)号：US20070168270A1
公开(公告)日：2007-07-19
申请号：US11333541
申请日：2006-01-18
IPC分类号： G06Q40/00
摘要： A method for estimating future cash flows of an investment instrument (or portfolio of investment instruments) is performed by simulating past performance (i.e., cash flows similar instruments based on actual data of past performance, using the simulated past performance to generate a distribution of possible future performance outcomes of the investment instrument, and using the distribution of possible future performance outcomes to make estimates of the expected cash flow from the investment instrument. In one embodiment, cash flow time series of private equity funds (J-curves) are simulated for fully-liquidated vintage years by scaling an aggregate net cash flow time series from a plurality of fully liquidated funds for that vintage year. The time series is scaled by scalar coefficients calculated based on statistics of the four parameters, internal rate of return, money multiple, depth of curve, and speed to depth, of the aggregated vintage fund J-curves.
摘要翻译： 估算投资工具（或投资工具组合）的未来现金流量的方法是通过模拟过去绩效（即，基于过去绩效的实际数据的现金流量类似工具），使用模拟的过去绩效来生成可能的分配 投资工具的未来业绩成果，以及使用可能的未来业绩成果分配，对投资工具的预计现金流量进行估计。在一个实施例中，模拟私募股权基金（J-曲线）的现金流时间序列 通过从该年份的多个完全清算的资金中提取总现金流量时间序列，完整清算年份，时间序列由根据四个参数的统计，内部收益率，货币倍数计算的标量系数 ，曲线深度，速度，深度，聚集的老式基金J曲线。
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