Patent ID: 8799146

Claim:
A method comprising: determining, by a computer, an allocation of one or more contracts associated with a transaction across a plurality of separate accounts based on a cumulative profit and loss value for the plurality of separate accounts for a pre-determined period of time, wherein the transaction includes a buy or a sell; determining one or more candidate allocations by modifying the allocation, wherein the modifying of the allocation includes adjusting one or more allocated values of the one or more contracts for the plurality of separate accounts; and selecting one of the one or more candidate allocations that fairly distributes one or more returns across the plurality of separate accounts for the pre-determined period of time, wherein the fair distribution is based on minimizing a summation, Q, represented as follows: Q = ∑ i = 1 N ⁢ ⁢ ( PL t i α i - PL t ) 2 , where PL t i represents account i cumulative realized profit and loss at time t, PL t represents total cumulative realized profit and loss at time t, N represents number of the accounts, and α i represents a corresponding one of a plurality of allocation factors for account i.