Abstract: The Portfolio Allocation System of the present invention is a comprehensive tool which accepts user specified scenarios describing selected aspects of future price evolution—and provides as output an efficient frontier for portfolio re-allocation—taking into account transaction costs and costs of carry (the cost associated with foregoing the risk free interest rate where applicable). The product uses intensive monte-carlo computations and is supported by a network of machines. Users can interact with the system over the internet or through modem—using a specially developed user interface.