METHOD AND SYSTEM FOR MULTIPLE PORTFOLIO OPTIMIZATION
摘要
<p>Methods and systems for optimizing a plurality of portfolios, each portfolio including one or more shares of one or more tradable assets, and may include the steps of: receiving asset data associated with the plurality of the portfolios; receiving one or more optimization constraints including at least one global constraint defining a constraint to be applied across an aggregate of the plurality of portfolios; for each portfolio, optimizing the asset data based on the one or more optimization constraints to create optimized portfolio data; aggregating the optimized portfolio data to create aggregate optimized asset data; determining if the aggregate optimized asset data satisfies the at least one global constraint; and only if the at least one global constraint is satisfied, outputting the optimized asset data.</p>
申请公布号
WO2008123998(A1)
申请公布日期
2008.10.16
申请号
WO2008US04280
申请日期
2008.04.02
申请人
ITG SOFTWARE SOLUTIONS, INC.;ZOSIN, LEONID, ALEXANDER;MADHAVAN, ANANTH;DOMOWITZ, IAN
发明人
ZOSIN, LEONID, ALEXANDER;MADHAVAN, ANANTH;DOMOWITZ, IAN