| US 7,613,652 B2 | ||
| Computer methods and apparatus for optimizing portfolios of multiple participants | ||
| Andrew R. Young, New York, N.Y. (US); Evan Tick, New York, N.Y. (US); Robert C. Towse, Jr., Stamford, Conn. (US); Yoon Chang, New York, N.Y. (US); Roy Edwin Campbell, II, New York, N.Y. (US); Joan Ka-Wai Tse, New York, N.Y. (US); Stephen David Reddy, Washington Crossing, Pa. (US); Young-Sup Lee, White Plains, N.Y. (US); and John Scowcroft, New York, N.Y. (US) | ||
| Assigned to Morgan Stanley, New York, N.Y. (US) | ||
| Filed on Jan. 29, 2007, as Appl. No. 11/668,279. | ||
| Application 11/668279 is a continuation of application No. 11/319981, filed on Dec. 28, 2005, abandoned. | ||
| Application 11/319981 is a continuation of application No. 10/099764, filed on Mar. 15, 2002, abandoned. | ||
| Application 10/099764 is a continuation of application No. 08/963605, filed on Oct. 31, 1997, granted, now 6,393,409, filed on May 21, 2002. | ||
| Prior Publication US 2007/0150399 A1, Jun. 28, 2007 | ||
| Int. Cl. G06Q 40/00 (2006.01) | ||
| U.S. Cl. 705—37 [705/36 R] | 53 Claims |
| 1. A computer method for adjusting portfolios of fixed income instruments of multiple parties comprising:
storing in memory of at least one computer digital data representing portfolio holdings of multiple parties;
storing in the memory of at least one computer digital data representing constraints that define trading requirements of the
parties;
converting, using at least one computer, the digital data representing the portfolios of multiple parties and the digital
data representing the constraints of the multiple parties to optimization digital data adapted for processing by an optimization
engine; and
optimizing using at least one computer the optimization digital data so as to generate a set of trades among the parties that
rebalance the parties' portfolios in accordance with parties' constraints such that the portfolios are substantially optimized
with respect to a predetermined objective, wherein for each trade selected from the set of trades, a first party selected
from the multiple parties relinquishes a first group of one or more fixed-income instruments from the first party's portfolio
and receives a second group of one or more fixed-income instruments from a portfolio of one of the other parties, and wherein
the first group of fixed-income instruments and the second group of fixed-income instruments have equivalent yields.
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