Abstract: A method for identifying an allocation of investment resources among a plurality of investments to construct an investment portfolio for an investor, the method comprising: generating a representation of a first joint probability distribution of one or more investor attributes, at least one of which is a representation of risk aversion, and of a plurality of attributes for a set of investments to be allocated; generating an objective function that incorporates the representation of the first joint probability distribution; and optimizing, using a microprocessor, an allocation of investment resources for each of the plurality of investments according to the objective function.