System and method for portfolio optimization

Abstract

A system and method for portfolio optimization through optimized selection of options. The options are preferably selected according to one of a plurality of parameters, included but not limiting to a parameter related to the option or a parameter related to the underlying security. Non-limiting examples of parameters related to the options include the expiration date of the option, whether the option is a call option or a put option, the type of call option, estimated risk of the option, estimated liquidity of the option and estimated implied volatility of the option. Non-limiting examples of parameters related to the underlying securities include estimated risk of the underlying security, estimated liquidity of the underlying security and estimated volatility of the underlying security.

Dependencies are inferred from the claim text.