Management of Related Portfolios

Abstract

A computer-implemented method comprising: retrieving information indicative of sets of upper level portfolios; retrieving information indicative of a plurality of objectives for the sets of upper level portfolios; retrieving a plurality of constraints, with at least one of the constraints restricting aggregate trade amounts for the same lower level portfolio across the sets of upper level portfolios, and with a constraint comprising a parameter that is at least partly based on an objective and attributes of the sets of upper level portfolios; and executing by one or more computer systems a collection of optimization rules to apply across the sets of upper level portfolios to current trade amounts of the sets of upper level portfolios and to the objectives according to parameters specified by the constraints to determine rebalanced trade amounts for the sets of upper level portfolios.

1 - 20 . (canceled) 
     
     
         21 . A computer-implemented method comprising:
 retrieving information indicative of upper level portfolios, with the upper level portfolios including a plurality of lower level portfolios, with a first upper level portfolio including a first lower level portfolio comprising a group of financial instruments, and with a second upper level portfolio including the first lower level portfolio;   retrieving information indicative of an objective for the first and second upper level portfolios;   retrieving information indicative of a constraint that restricts holdings for the group of financial instruments in the first lower level portfolio across the first and second upper level portfolios; and   executing by one or more computer systems an algorithm to apply the constraint to holdings for the group of financial instruments in the first lower level portfolio to restrict holdings for the group of financial instruments in the lower level portfolio while applying the objective to current holdings of the first and the second upper level portfolios for determining rebalanced holdings for the first and second upper level portfolios.   
     
     
         22 . The method of  claim 21 , further comprising:
 determining, based on executing, metrics indicative of trade warnings;   based on the trade warnings, selecting new constraints and new objectives; and   re-executing by the one or more computer systems the collection of optimization rules to apply across the sets of upper level portfolios to current holdings of the sets of upper level portfolios and to the new objectives according to the new constraints to determine new rebalanced holdings for the sets of upper level portfolios.   
     
     
         23 . The method of  claim 21 , further comprising:
 determining one or more trades to be executed for the rebalanced holdings.   
     
     
         24 . The method of  claim 21 , wherein the objectives comprise:
 an asset class alignment objective for decreasing differences among trade amounts of an asset class in a portfolio and target trade amounts of the asset class, e.g., relative to differences among trade amounts of the asset class and the target trade amounts of the asset class prior to rebalancing;   a peer consistency objective for decreasing across peer upper level portfolios differences among trade amounts in lower level portfolios and target trade amounts, e.g., relative to differences across the peer upper level portfolios among trade amounts in lower level portfolios and target trade amounts prior to rebalancing;   wherein at least two upper level portfolios in the sets are peer upper level portfolios;   a portfolio alignment objective for decreasing differences among lower level portfolios' trade amounts to a target trade amount, with the lower level portfolios being in a particular upper level portfolio, relative to differences among lower level portfolios' trade amounts to the target trade amount prior to rebalancing; and   a trade cost objective for decreasing trade costs associated with management of the upper level portfolios in accordance with the objectives and the constraints.   
     
     
         25 . The method of  claim 21 , wherein the rebalanced holdings are optimized trade amounts given the constraints and the objectives. 
     
     
         26 . The method of  claim 21 , wherein the constraints comprise:
 a trade limitation constraint for limiting trade of the lower level portfolios across upper level portfolios in the sets;   an asset class alignment tolerance constraint for limiting differences among amounts of asset classes held in a lower level portfolio and objective amounts of the asset classes; and   a portfolio objective alignment tolerance constraint for limiting differences among actual holdings of a lower level portfolio and target trade amounts.   
     
     
         27 . The method of  claim 21 , wherein the sets of upper level portfolios are portfolio families. 
     
     
         28 . One or more machine-readable hardware storage devices storing instructions that are executable by one or more processing devices to perform operations comprising:
 retrieving information indicative of upper level portfolios, with the upper level portfolios including a plurality of lower level portfolios, with a first upper level portfolio including a first lower level portfolio comprising a group of financial instruments, and with a second upper level portfolio including the first lower level portfolio;   retrieving information indicative of an objective for the first and second upper level portfolios;   retrieving information indicative of a constraint that restricts holdings for the group of financial instruments in the first lower level portfolio across the first and second upper level portfolios; and   executing an algorithm to apply the constraint to holdings for the group of financial instruments in the first lower level portfolio to restrict holdings for the group of financial instruments in the lower level portfolio while applying the objective to current holdings of the first and the second upper level portfolios for determining rebalanced holdings for the first and second upper level portfolios.   
     
     
         29 . The one or more machine-readable hardware storage devices of  claim 28 , wherein the operations further comprise:
 determining, based on executing, metrics indicative of trade warnings;   based on the trade warnings, selecting new constraints and new objectives; and   re-executing by the one or more computer systems the collection of optimization rules to apply across the sets of upper level portfolios to current holdings of the sets of upper level portfolios and to the new objectives according to the new constraints to determine new rebalanced holdings for the sets of upper level portfolios.   
     
     
         30 . The one or more machine-readable hardware storage devices of  claim 28 , wherein the operations further comprise:
 determining one or more trades to be executed for the rebalanced holdings.   
     
     
         31 . The one or more machine-readable hardware storage devices of  claim 28 , wherein the objectives comprise:
 an asset class alignment objective for decreasing differences among trade amounts of an asset class in a portfolio and target trade amounts of the asset class, e.g., relative to differences among trade amounts of the asset class and the target trade amounts of the asset class prior to rebalancing;   a peer consistency objective for decreasing across peer upper level portfolios differences among trade amounts in lower level portfolios and target trade amounts, e.g., relative to differences across the peer upper level portfolios among trade amounts in lower level portfolios and target trade amounts prior to rebalancing;   wherein at least two upper level portfolios in the sets are peer upper level portfolios;   a portfolio alignment objective for decreasing differences among lower level portfolios' trade amounts to a target trade amount, with the lower level portfolios being in a particular upper level portfolio, relative to differences among lower level portfolios' trade amounts to the target trade amount prior to rebalancing; and   a trade cost objective for decreasing trade costs associated with management of the upper level portfolios in accordance with the objectives and the constraints.   
     
     
         32 . The one or more machine-readable hardware storage devices of  claim 28 , wherein the rebalanced holdings are optimized trade amounts given the constraints and the objectives. 
     
     
         33 . The one or more machine-readable hardware storage devices of  claim 28 , wherein the constraints comprise:
 a trade limitation constraint for limiting trade of the lower level portfolios across upper level portfolios in the sets;   an asset class alignment tolerance constraint for limiting differences among amounts of asset classes held in a lower level portfolio and objective amounts of the asset classes; and   a portfolio objective alignment tolerance constraint for limiting differences among actual holdings of a lower level portfolio and target trade amounts.   
     
     
         34 . The one or more machine-readable hardware storage devices of  claim 28 , wherein the sets of upper level portfolios are portfolio families. 
     
     
         35 . A system comprising:
 one or more processing devices; and   one or more machine-readable hardware storage devices storing instructions that are executable by the one or more processing devices to perform operations comprising:
 retrieving information indicative of upper level portfolios, with the upper level portfolios including a plurality of lower level portfolios, with a first upper level portfolio including a first lower level portfolio comprising a group of financial instruments, and with a second upper level portfolio including the first lower level portfolio; 
 retrieving information indicative of an objective for the first and second upper level portfolios; 
 retrieving information indicative of a constraint that restricts holdings for the group of financial instruments in the first lower level portfolio across the first and second upper level portfolios; and 
 executing an algorithm to apply the constraint to holdings for the group of financial instruments in the first lower level portfolio to restrict holdings for the group of financial instruments in the lower level portfolio while applying the objective to current holdings of the first and the second upper level portfolios for determining rebalanced holdings for the first and second upper level portfolios. 
   
     
     
         36 . The system of  claim 35 , wherein the operations further comprise:
 determining, based on executing, metrics indicative of trade warnings;   based on the trade warnings, selecting new constraints and new objectives; and   re-executing by the one or more computer systems the collection of optimization rules to apply across the sets of upper level portfolios to current holdings of the sets of upper level portfolios and to the new objectives according to the new constraints to determine new rebalanced holdings for the sets of upper level portfolios.   
     
     
         37 . The system of  claim 35 , wherein the operations further comprise:
 determining one or more trades to be executed for the rebalanced holdings.   
     
     
         38 . The system of  claim 35 , wherein the objectives comprise:
 an asset class alignment objective for decreasing differences among trade amounts of an asset class in a portfolio and target trade amounts of the asset class, e.g., relative to differences among trade amounts of the asset class and the target trade amounts of the asset class prior to rebalancing;   a peer consistency objective for decreasing across peer upper level portfolios differences among trade amounts in lower level portfolios and target trade amounts, e.g., relative to differences across the peer upper level portfolios among trade amounts in lower level portfolios and target trade amounts prior to rebalancing;   wherein at least two upper level portfolios in the sets are peer upper level portfolios;   a portfolio alignment objective for decreasing differences among lower level portfolios' trade amounts to a target trade amount, with the lower level portfolios being in a particular upper level portfolio, relative to differences among lower level portfolios' trade amounts to the target trade amount prior to rebalancing; and   a trade cost objective for decreasing trade costs associated with management of the upper level portfolios in accordance with the objectives and the constraints.   
     
     
         39 . The system of  claim 35 , wherein the rebalanced holdings are optimized trade amounts given the constraints and the objectives. 
     
     
         40 . The system of  claim 35 , wherein the constraints comprise:
 a trade limitation constraint for limiting trade of the lower level portfolios across upper level portfolios in the sets;   an asset class alignment tolerance constraint for limiting differences among amounts of asset classes held in a lower level portfolio and objective amounts of the asset classes; and   a portfolio objective alignment tolerance constraint for limiting differences among actual holdings of a lower level portfolio and target trade amounts.   
     
     
         41 . The system of  claim 35 , wherein the sets of upper level portfolios are portfolio families. 
     
     
         42 . The system of  claim 35 , wherein the object comprises a desired risk level. 
     
     
         43 . The system of  claim 35 , further comprising determining optimal allocations of incoming cash flows to achieve positions specified by the rebalance.