Computer method and apparatus for optimizing portfolios of multiple participants

Computer method and apparatus for optimizing portfolios of multiple participants

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 represen...

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Bibliographische Detailangaben
Hauptverfasser: TSE JOAN KA-WAI, CHANG YOON, SCOWCROFT JOHN, TICK EVAN, YOUNG ANDREW R, CAMPBELL ROY EDWIN, REDDY STEPHEN DAVID, TOWSE ROBERT C, LEE YOUNG-SUP
Format: Patent
Sprache:eng
Schlagworte:
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Beschreibung
Zusammenfassung: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.