Abstract: The present invention provides a method and system for electronically generating over a network a set of optimal and near-optimal portfolios in which the number of assets in the portfolio is limited by an integer constraint. Recommended optimal or near-optimal portfolios are based on the user's investment profile comprising features such as the user's risk and expected return tolerance. Portfolios which are less desirable than recommended portfolios and which are still within the user's investment profile may be displayed as a set of alternative portfolios. Optimal portfolios are obtained using a mixed-integer nonlinear programming approach in conjunction with an integer constraint on the number of assets in a portfolio. Near-optimal portfolios are identified through the application of a genetics algorithm on a set of optimal allocations. Asset class factors are utilized in the analysis to provide stability in the results and to include a wider range of historic market and asset conditions.