The term, “Post-modern portfolio theory (PMPT)” was first used by Brian Rom to describe the underlying theory of an asset allocation model developed by The Pension Research Institute (PRI) called Primix. Mr. Rom wrote a very favorable article about Primix in Pensions and Investments magazine, May 2, 1988, page 34. The article noted that Premix “exactly calculates the risk of falling below the target return “ and later states: “users should request a white paper titled Risk and Relevance by the Institutes Director, Frank Sortino.” A few weeks later Mr. Rom signed an agreement with PRI to market PRI’s software. The agreement required Rom’s firm “include the following words on the opening screen: “This product is an extension of a model developed by the Pension Research Institute;” furthermore, the agreement limited Mr. Rom to “designing all Non-Technical Features” , such as the user interface.[i] PRI was responsible for all technical features.[ii] Therefore, all of the body of knowledge constituting PMPT (including all equations) prior to 1995, when Rom terminated the agreement, were developed by PRI. The source code for all Technical Features in the software including the Sortino ratio was written by Dr. Hal Forsey, professor of mathematics at S.F.S. U. A copy of the PRI Agreement was hand delivered to the San Francisco office of Wikipedia 9/8/2015.
The supporting evidence can be viewed by clicking on the PRI-Rom.pdf contract at the top.
[i] Defined in the PRI agreement with Brian Rom as:”All those attributes of the Products that relate to on-screen menus and user interaction.”
[ii] Defined in the PRI Agreement as: “The algorithms, mathematical and statistical operations and other functions required to compute the results.”
