Patent ID: 7853510
Filing Date: 2010-12-14
Classification: G06Q

Abstract:
1. A method for optimizing plurality of portfolios, each portfolio including one or more shares of one or more tradable assets, comprising steps of: a) receiving asset data associated with said plurality of portfolios; b) receiving one or more optimization constraints and at least one global constraint, wherein said one or more optimization constraints may include said at least one global constraint on the number of shares that can be traded for at least one of said tradable assets; c) optimizing by a computer said asset data based on said one or more optimization constraints creating optimized portfolio data for each said portfolio; d) aggregating said optimized portfolio data creating an aggregate optimized asset data; e) determining whether said aggregate optimized asset data satisfies said at least one global constraint; and f) outputting said aggregate optimized asset data only if said at least one global constraint is satisfied; or g) adjusting said one or more optimization constraints based on each said optimized portfolio data and said aggregate optimized asset data if said at least one global constraint is not satisfied, wherein adjusting said one or more optimization constraints based on said optimized portfolio data and said aggregate optimized asset data further comprises setting, for one or more of said plurality of portfolios, a maximum number of shares of said one or more tradable assets that can be traded during a next round of optimization, to be equal to a number of shares traded for said one or more tradable assets in said one or more of said plurality of portfolios during the step (c) multiplied by said at least one global constraint divided by an aggregate number of shares that were traded for said one or more tradable assets across said plurality of portfolios during the step (c).