Patent ID: 8635141

Claim:
A computer-implemented method for optimizing a plurality of portfolios, each portfolio of said plurality of portfolios including one or more shares of one or more tradable assets, the method comprising the steps of: a) receiving, by a computer server, from an electronic trading system, asset data associated with said each portfolio of said plurality of portfolios; b) receiving, by said computer server, an individual optimization constraint, wherein the individual optimization constraint comprises a maximum number of shares that can be traded for a given security in a given portfolio of said plurality of portfolios; c) receiving, by said computer server, a global optimization constraint, wherein the global optimization constraint is applied across an aggregate of said plurality of portfolios, and wherein the global optimization constraint comprises a maximum number of shares that can be traded for a given security in said plurality of portfolios; d) optimizing, by said computer server, said asset data for said each portfolio based on said individual optimization constraint creating optimized portfolio data for said each portfolio; e) aggregating, by said computer server, said optimized portfolio data for each portfolio creating an aggregate optimized asset data for said plurality of portfolios; f) determining if said aggregate optimized asset data satisfies said global optimization constraint; g) if said aggregate optimized asset data is determined to satisfy said global optimization constraint, outputting said optimized asset data to said electronic trading system; and h) if said aggregate optimized asset data is determined not to satisfy said global optimization constraint, first adjusting said individual optimization constraint based on each of said optimized portfolio data and said aggregate optimized asset data until said aggregate optimized asset data is determined to satisfy said global optimization constraint, and then outputting said optimized asset data to said electronic trading system.