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A Method to Forecast Returns on Stocks, Bonds, Bills, and Inflation Using Corporate Bond Forward Rates

United States Patent Application

20050114247
A1
View the Complete Application at the US Patent & Trademark Office
This invention modifies the Ibbotson-Sinquefield model to use current corporate bond yields as the principal input for forecasting returns on stocks, bonds, treasury bills, and inflation rates. This allows increasing the forecast period to the maximum time horizon using corporate bond yields, which currently is up to 100 years.
Kenley, Charles Robert (RICHMOND, IN)
KENLEY CONSULTING, LLC (KENLEY CONSULTING, LLC 165 S 20TH ST RICHMOND IN)
10/ 707,114
November 21, 2003
[0001] This invention was made with Department of Energy support under Subcontract No. PA002730 awarded by Bechtel SAIC Company, LLC under DOE contract no. DE-AC28-01RW-12101. Kenley Consulting, LLC has certain rights in this invention as a small business under 35 USC 202. The Department of Energy also has certain rights in this invention under 35 USC 202.