COMPUTER METHOD AND APPARATUS FOR OPTIMIZING PORTFOLIOS OF MULTIPLE PARTICIPANTS
摘要
Computer technology for substantially optimizing (230) portfolios of multiple participants (101, 102, 103) is disclosed. Preferably the portfolios of such multiple participants comprise fixed income instruments. The disclosed systems and methods include using at least one computer system (100) for storing digital data representing portfolio holdings of multiple parties and, in particular, for each participant storing in the computer memory data representing constraints with respect to the desired portfolio (104). The method and system comprise optimizing (40) using an optimization engine (190) portfolio and constraint information of multiple participants so as to generate a set of trades that would substantially optimize participants portfolios with respect to a known objective.
申请公布号
WO9923592(A1)
申请公布日期
1999.05.14
申请号
WO1998US23180
申请日期
1998.10.30
申请人
发明人
YOUNG, ANDREW, R.;TICK, EVAN;TOWSE, ROBERT, C., JR.;CHANG, YOON;CAMPBELL, ROY, E., II;TSE, JOAN, KA-WAI;REDDY, STEPHEN, D.;LEE, YOUNG-SUP;SCOWCROFT, JOHN