Abstract: A method and a computing apparatus for managing a portfolio of securities and derivatives are provided. The method includes: identifying a plurality of potential trades based on the portfolio of securities and derivatives; obtaining historical market data that relates to the identified plurality of potential trades; assessing a respective optimal value of each of the at least one security that relates to a corresponding one of the potential trades; and determining trades to be executed from among the identified plurality of potential trades. The assessments of the respective optimal values are based on the obtained historical market data, and also on additional information that relates to each security, using statistical methods. The determination of trades to be executed is based on the corresponding optimal values.

Abstract: A method and a computing apparatus for managing a portfolio of securities and derivatives are provided. The method includes: identifying a plurality of potential trades based on the portfolio of securities and derivatives; obtaining historical market data that relates to the identified plurality of potential trades; assessing a respective optimal value of each of the at least one security that relates to a corresponding one of the potential trades; and determining trades to be executed from among the identified plurality of potential trades. The assessments of the respective optimal values are based on the obtained historical market data, and also on additional information that relates to each security, using statistical methods. The determination of trades to be executed is based on the corresponding optimal values.

Abstract: A method and a computing apparatus for managing a portfolio of securities and derivatives are provided. The method includes: identifying a plurality of available hedging instruments based on the portfolio of securities and derivatives; obtaining historical market data that relates to the identified plurality of hedging instruments; assessing an optimized value of the portfolio of securities and derivatives based on the obtained historical market data; and determining at least one potential action to be executed with respect to the plurality of available hedging instruments based on the assessed optimized value. The assessment of the optimized value of the securities portfolio may effected by generating a market model simulation function, such as a finite dimensional Linear Markov Representation (LMR), based on the portfolio and maximizing a value of the generated market model simulation function.