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REAL-TIME PORTFOLIO BALANCING AND/OR OPTIMIZATION SYSTEM AND METHOD
REAL-TIME PORTFOLIO BALANCING AND/OR OPTIMIZATION SYSTEM AND METHOD
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机译:实时组合平衡和/或优化系统和方法
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摘要
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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