In one aspect, the invention comprises a method comprising: (a) acquiring data regarding a first group of securities in a first portfolio; (b) based on said data and on risk characteristics of said first group of securities, identifying a second group of securities to be included in a second portfolio; and (c) calculating holdings in said second portfolio based on one or more portfolio optimization procedures. In another aspect, the invention comprises software for performing the steps described above (as well as steps of other embodiments), and in another aspect, the invention comprises one or more computer systems operable to perform those steps.