Method and system for securities pool allocation

Details Method and system for securities pool allocation Method and system for securities pool allocation

1995-04-04

1996-10-08

McElheny, Jr., Donald E.

Boots, shoes, and leggings

364401R, G06F15300

Patent

active

055637833

ABSTRACT:
Trading in pooled securities (e.g., pooled mortgages) requires allocation of securities from pools to contracts subject to certain rules or constraints. To improve upon manual allocation procedures, computer techniques for fast and profitable allocation have been developed. Advantageously, a locally optimal allocation can be found by a rule-based greedy algorithm, and the locally optimal allocation can be improved upon further by a simulated annealing technique which is more likely to produce a globally optimal allocation.

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