Fair-value pricing of a financial asset
First Claim
1. A computerized method for determining at an effective valuation time a fair value of a first security listed on a securities market that is closed, comprising:
- electronically receiving historical price data, wherein said historical price data comprises data for a plurality of price-related time-dependent variables;
electronically performing a multivariate regression analysis on said historical price data; and
electronically calculating at said effective valuation time a fair value of said first security based on said multivariate regression analysis and on values of at least two of said plurality of price-related time-dependent variables.
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Accused Products
Abstract
The fair value of a fund is determined by analyzing various factors indicative of how each underlying asset of the fund would be valued on the open market. The fund may be an international mutual fund that includes underlying assets, which include international equities. Because some of the underlying assets may not be traded in a liquid market at the time of valuation of the fund, a reliable estimate of the value of such underlying assets must be made based on available data related through historical correlations. The fair value of the fund is determined based on the estimated or actual values of each of the underlying assets.
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Citations
16 Claims
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1. A computerized method for determining at an effective valuation time a fair value of a first security listed on a securities market that is closed, comprising:
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electronically receiving historical price data, wherein said historical price data comprises data for a plurality of price-related time-dependent variables; electronically performing a multivariate regression analysis on said historical price data; and electronically calculating at said effective valuation time a fair value of said first security based on said multivariate regression analysis and on values of at least two of said plurality of price-related time-dependent variables. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 15)
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14. A computerized method for determining a fair value of a security traded on a securities market that is open part of the time and closed part of the time, at an effective valuation time when said security is not actively traded on said market, comprising:
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electronically receiving prices of said security during a plurality of periods when said market was open; electronically receiving historical market data for a plurality of financial asset market based time-dependent variables other than prices for said first security; electronically performing a multivariate regression analysis on said historical market data and said prices of said security during a plurality of periods when said market was open; and electronically calculating a fair value of said first security at said valuation time based on said multivariate regression and on a price for said security during a period when said market was last open. - View Dependent Claims (16)
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Specification