Patent ID: 8615459
Filing Date: 2013-12-24
Classification: G06Q

Abstract:
1. A method of managing an open ended fund for use on a computer system including first and second databases connected to a computer having a processor and a memory, wherein the fund is subscribed by a client on an entry date (t in ) at an entry price and to be redeemed by the client on an exit date (t in +T), and wherein the fund includes an underlying risky financial asset and a non-risky financial asset, the method comprising the steps of: determining, by the processor, a random maturity (τ) of the fund according to a statistical law, the random maturity (τ) representing the duration between current date and an exit date, determining, by the processor, a payoff function  of the fund, the payoff representing the performance to be attained by the fund at the random maturity (τ), and calculating, by the processor, a profile (P(s)) of the payoff function  depending on the current price (s) of the underlying risky asset, the profile (P(s)) being an objective to be replicated by the fund according to the random maturity (τ), calculating, by the processor, an exposure function (e(s)) based on the profile (P(s)) of the payoff function and the current price (s) of the underlying risky asset, wherein the exposure function (e(s)) represents the percentage of the underlying risky asset in the fund, estimating, at time t, an average reference price (K computing, at time t, the current target exposure (e