Real-time portfolio balancing and/or optimization system and...

Details Real-time portfolio balancing and/or optimization system and... Real-time portfolio balancing and/or optimization system and...

2009-02-12

2011-11-22

Cheung, Mary (Department: 3667)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S037000, C705S038000, C705S039000

Reexamination Certificate

active

08065217

ABSTRACT:
A computer-implemented system and method are described for real-time portfolio balancing and/or optimization of portfolio holdings, preferably in Alternative Trading Systems (ATSs), that reduces execution risk and legging risk. The computer-implemented system and method also incorporate cash constraints to assist in reducing execution risks. A computer-implemented system and method include advantages such as exposure to broad market liquidity throughout the trading day, being dynamic so that a strategy can be adjusted depending on market conditions, the reduction of execution and legging risks, optimal fills, and limited market impact.

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