Patent ID: 8615459

Claim:
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 ( f ⁡ ( S τ K ) ) 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 ( f ⁡ ( S τ K ) ) , 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 t ) of the underlying risky asset for the plurality of entry prices, and computing, at time t, the current target exposure (e t ) of the fund to the underlying risky asset, based on the exposure function (e(s)), the price (S t ) of the underlying risky asset at time t and the average reference price (K t ) of the underlying risky asset.