1. A computer system comprising:

a processor; and

a tangible, non-transitory memory configured to communicate with the processor,

the tangible, non-transitory memory having instructions stored thereon that, in response to execution by the processor, cause the processor to perform operations comprising:

storing, by the processor, a plurality of portfolio scenarios and, for each instrument, an instrument value for each of the plurality of portfolio scenarios in an n-dimensional matrix, a first constraint and a second constraint;

transposing, by the processor, the n-dimensional matrix, to determine a first solution by maximizing the product of a transpose of the n-dimensional matrix and the first constraint;

determining, by the processor, a conditional value at risk (CVaR);

determining, by the processor, an accepted range of an acceptable risk based on the CVaR,

determining, by the processor, whether the first solution is within the accepted range of the acceptable risks;

if the first solution is not within the accepted range of the acceptable risk, processing, by the processor, the second constraint with the first solution to obtain a second solution; and

if the first solution is not within the accepted range of the acceptable risk, determining, by the processor, whether the second solution is within the accepted range of the acceptable risk.