COMPUTER METHOD AND APPARATUS FOR OPTIMIZING PORTFOLIOS OF MULTIPLE PARTICIPANTS
First Claim
1. A computer method for adjusting portfolios of fixed income instruments of multiple parties comprising:
- storing in memory of at least one computer digital data representing portfolio holdings of multiple parties;
storing in the memory of at least one computer digital data representing constraints that define trading requirements of the parties;
converting, using at least one computer, the digital data representing the portfolios of multiple parties and the digital data representing the constraints of the multiple parties to optimization digital data adapted for processing by an optimization engine; and
optimizing using at least one computer the optimization digital data so as to generate a set of trades among the parties that rebalance the parties'"'"' portfolios in accordance with parties'"'"' constraints such that the portfolios are substantially optimized with respect to a predetermined objective.
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Accused Products
Abstract
Computer technology for substantially optimizing portfolios of multiple participants 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 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. The method and system comprise optimizing using an optimization engine 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.
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Citations
54 Claims
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1. A computer method for adjusting portfolios of fixed income instruments of multiple parties comprising:
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storing in memory of at least one computer digital data representing portfolio holdings of multiple parties;
storing in the memory of at least one computer digital data representing constraints that define trading requirements of the parties;
converting, using at least one computer, the digital data representing the portfolios of multiple parties and the digital data representing the constraints of the multiple parties to optimization digital data adapted for processing by an optimization engine; and
optimizing using at least one computer the optimization digital data so as to generate a set of trades among the parties that rebalance the parties'"'"' portfolios in accordance with parties'"'"' constraints such that the portfolios are substantially optimized with respect to a predetermined objective. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23, 24, 25, 26, 27)
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28. A computer system for providing an exchange between fixed-income portfolios of multiple participants comprising at least one computer having a processor and a memory, comprising:
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means for storing data representing fixed-income portfolios of multiple participants and constraints provided by the participants defining participants'"'"' requirements for the portfolio generated by the exchange; and
an optimization engine that processes digital data representing fixed-income portfolios and constraints of the multiple participants so as to determine transactions between the participants that substantially optimize the portfolios for a predetermined objective in accordance with the constraints. - View Dependent Claims (29, 30, 31, 32, 33, 34, 35, 36, 37, 38, 39, 40, 41, 42, 43, 44, 45, 46, 47, 48, 49, 50, 51, 52, 53, 54)
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Specification