Process for verifiably communicating risk characteristics of an investment portfolio

Abstract

Offered is a process for verifiably communicating risk characteristics of an investment portfolio to an investor without disclosing the exact composition. An investment manager may describe acceptable characteristics of a portfolio within the portfolio's prospectus and may cryptographically commit to the contents without disclosing the exact composition. Risk statistics may be calculated concerning the limitations specified in the prospectus regarding acceptable configurations of assets holdings without disclosing the exact composition. Cryptographic means may be provided to prove that portfolio holdings are within ranges specified in the prospectus. One or more third parties may participate in the protected verification.

1 . A computer-implemented method for communicating characteristics of an investment portfolio, the method comprising executing, on at least one computer, computer executable instructions for:
 generating at least one commitment, the at least one commitment comprising a hidden binding representation that an investment portfolio comprises a certain asset quantity; and   communicating a key to the at least one commitment to a third party.   
     
     
         2 . The computer-implemented method of  claim 1 , further comprising communicating the asset quantity represented in the at least one commitment to a recipient. 
     
     
         3 . The computer-implemented method of  claim 1 , further comprising communicating the commitment to a recipient. 
     
     
         4 . The computer-implemented method of  claim 1 , further comprising:
 generating at least one assertion of asset quantities of the investment portfolio;   acquiring a verification for the at least one assertion based at least in part on the at least one commitment; and   communicating the verification to a recipient.   
     
     
         5 . The computer-implemented method of  claim 1 , further comprising:
 generating at least one assertion of asset quantities of the investment portfolio;   generating a proof for the at least one assertion based at least in part on the at least one commitment; and   communicating the proof to a recipient.   
     
     
         6 . The method of  claim 5  in which the proof is generating using a cryptographic zero knowledge proof. 
     
     
         7 . The method of  claim 5  wherein the at least one assertion includes a measure of investment risk in the portfolio. 
     
     
         8 . The method of  claim 5  wherein the at least one assertion of asset quantities q_i takes the form f(q_i)>=K for some function f and constant K. 
     
     
         9 . The method of  claim 5  wherein the at least one assertion of asset quantities q_i takes the form f(q_i)<=K for some function f and constant K. 
     
     
         10 . The method of  claim 1  wherein the at least one commitment is computed using a cryptographic encryption function. 
     
     
         11 . The method of  claim 1  wherein the at least one commitment is computed using a cryptographic commitment function. 
     
     
         12 . A computer-implemented method for verifying characteristics of an investment portfolio, the method comprising executing, on at least one computer, computer executable instructions for:
 obtaining at least one commitment, the at least one commitment comprising a hidden binding representation that an investment portfolio comprises a certain asset quantity; and   obtaining at least one proof of an assertion of asset quantities of the investment portfolio.   
     
     
         13 . The method of  claim 12  further comprising verifying the at least one proof based on the at least one commitment. 
     
     
         14 . The method of  claim 12  further comprising:
 obtaining at least one decryption key; and 
 decrypting the at least one commitment with at least one decryption key. 
 
     
     
         15 . A computer-implemented method for verifying characteristics of an investment portfolio, the method comprising executing, on at least one computer, computer executable instructions for:
 receiving a key to at least one commitment, the at least one commitment comprising a hidden binding representation that an investment portfolio comprises a certain asset quantity;   verifying the correctness of the commitment; and   generating a verification of the correctness of the commitment.   
     
     
         16 . The computer-implemented method of  claim 15  further comprising sending the verification to a recipient. 
     
     
         17 . The method of  claim 15  further comprising:
 obtaining at least one record of a portfolio transaction transferring ownership of an asset quantity to or from the investment portfolio; and 
 verifying that the at least one asset quantity represented in the at least one commitment matches the asset quantity in the at least one record. 
 
     
     
         18 . The method of  claim 15  further comprising:
 decrypting the at least one commitment with at least one decryption key. 
 
     
     
         19 . The method of  claim 15  further comprising:
 obtaining at least one assertion of asset quantities in the investment portfolio; 
 verifying the at least one assertion of asset quantities with respect to at least one commitment; and 
 generating a verification of the correctness of the assertion of asset quantities. 
 
     
     
         20 . The method of  claim 19 , further comprising further comprising sending the verification of the correctness of the assertion of asset quantities to a recipient.