Patent ID: 8676690

Claim:
A computer-implemented method comprising: retrieving information indicative of upper level portfolios, with the upper level portfolios including a plurality of lower level portfolios, with a first upper level portfolio and a second upper level portfolio each including a same lower level portfolio, with a lower level portfolio comprising a group of financial instruments; retrieving information indicative of an objective for the first and second upper level portfolios; retrieving a constraint restricting trading volumes for the group of financial instruments in the same lower level portfolio across the first and second upper level portfolios, with the constraint comprising a parameter that is at least partly based on the objective of the first and second upper level portfolios; executing by one or more computer systems a collection of optimization rules to apply the objective to current trade amounts of the first and second upper level portfolios; executing by one or more computer systems an algorithm to apply the at least one constraint to trading volumes for the group of financial instruments in the same lower level portfolio that is included in the first upper level portfolio and in the second upper level portfolio; wherein the constraint restricts trading volumes for the group of financial instruments in the same lower level portfolio across the first and second upper level portfolios; simultaneously applying, while executing the algorithm to apply the constraint to the same lower level portfolio, the objective to the current trade amounts of the first and the second upper level portfolios that each includes the same lower level portfolio to which the constraint is applied; and in response to simultaneously (i) applying the objective to the current trade amounts of the first and the second upper level portfolios that each includes the same lower level portfolio to which the constraint is applied, and (ii) executing the algorithm to apply the constraint to the trading volumes for the group of financial instruments in the same lower level portfolio, determining rebalanced trade amounts for the first and second upper level portfolios; wherein the determined re-balanced trade amounts (i) promote the objective of the first and the second upper level portfolios, and (ii) satisfy the constraint that restricts the trading volumes across the same lower level portfolio.