1. A method for determining the allocation of securities in a portfolio, the method comprising: performing multivariate decision tree processing on a collection of securities in a portfolio using at least two concurrent target variables comprising a plurality of risk measures and at least one return measure, the plurality of risk measures including variance, skewness and Value at Risk, and pooling each security into a plurality of substantially homogeneous security clusters based on the target variables using a processor of a computing device; determining pooled measures for each substantially homogeneous cluster, the pooled measures serving as proxies to each security in the portfolio, the pooled measures serving as inputs to the multivariate decision tree processing using the processor of the computing device; processing the plurality of substantially homogeneous security clusters using a nonlinear programming optimizer to generate optimization results using the processor of the computing device; and presenting the optimization results in a risk-return space for determination of a security allocation using the processor of the computing device.