Management of related portfolios

摘要

A computer-implemented method comprising: retrieving information indicative of sets of upper level portfolios; retrieving information indicative of a plurality of objectives for the sets of upper level portfolios; retrieving a plurality of constraints, with at least one of the constraints restricting aggregate trade amounts for the same lower level portfolio across the sets of upper level portfolios, and with a constraint comprising a parameter that is at least partly based on an objective and attributes of the sets of upper level portfolios; and executing by one or more computer systems a collection of optimization rules to apply across the sets of upper level portfolios to current trade amounts of the sets of upper level portfolios and to the objectives according to parameters specified by the constraints to determine rebalanced trade amounts for the sets of upper level portfolios.