Method and Computer Program for Minimizing Trading Costs Subject to a Probability Criterion of Optimality Acceptability

摘要

Embodiments model a series of partial trades on an investment portfolio to reduce the optimality discrepancy relative to a target optimal portfolio, and determine whether a partially rebalanced portfolio along the trading path is within a predefined threshold of statistical optimality relative to the target optimal portfolio. Certain embodiments maximize the impact of partial rebalancing of a portfolio by maximizing reduction of an optimality discrepancy while minimizing the trade cost function along the trading path from the initial portfolio toward the target optimal portfolio.