METHOD AND SYSTEM FOR MULTIPLE PORTFOLIO OPTIMIZATION

摘要

Methods and systems for optimizing a plurality of portfolios, each portfo lio including one or more shares of one or more tradable assets, and may inc lude the steps of: receiving asset data associated with said plurality of sa id portfolios; receiving optimization constraints including at least one glo bal constraint defining a constraint to be applied across an aggregate of th e plurality of portfolios; receiving one or more objectives to be applied to individual portfolios during optimization; aggregating the optimized portfo lio data to create aggregate optimized asset data; determining if the aggreg ate optimized asset data satisfies the global constraint; and only if said a t least one global constraint is satisfied, outputting said optimized asset data.