Patent ID: 8838494
Filing Date: 2014-09-16
Classification: G06Q

Abstract:
1. A method for managing a target outcome fund designed to approximate a performance of an option of a risky asset, the method comprising: calculating a delta of an option for the risky asset, the risky asset having a high volatility relative to a low-risk asset, wherein the delta is a measure of how a value of the option will move given a change in a value of the risky asset; determining, by a process executed by a computer processor, a balance between a quantity of the risky asset and a quantity of the low-risk asset, wherein the balance is determined based on the calculated delta to cause a performance of the target outcome fund to approximate a performance of the option for the risky asset; initiating one or more transactions using a trading system to gain exposure to the risky and low-risk assets by the target outcome fund according to the determined balance between the risky and low-risk assets; determining an initial target return of the target outcome fund based on an expected performance of the risky and low-risk assets in the target outcome fund; rebalancing the target outcome fund on a fixed periodic basis by initiating one or more transactions using the trading system to rebalance an allocation between the risky asset and the low-risk asset based on an actual performance of the target outcome fund, the actual performance based on a comparison of a target return and an actual return; and after each rebalancing of the target outcome fund, recalculating the target return of the target outcome fund, the recalculating comprising: