| 摘要 |
Embodiments include systems and methods for evaluating the integrity of a model portfolio designed to have substantially the same values, returns, or risk characteristics as a financial instrument. Embodiments include operating a first computer to perform a statistical comparison between said model portfolio and the financial instrument, wherein said statistical comparison compares at least one of the periodic values, returns, and risk characteristics of the model portfolio and the financial instrument over some period of time. The results of the statistical comparison are periodically published throughout a trading day for use by a trader to at least one (i) price and (ii) hedge an investment in the financial instrument. According to embodiments, the model portfolio does not reveal the holdings of a reference asset for the financial instrument. |
| 主权项 |
1. A method, comprising:
performing, by a first computer, a statistical comparison between a model portfolio and a financial instrument, the model portfolio designed to have substantially the same of one or more of values, returns, and risk characteristics as the financial instrument, wherein said statistical comparison compares at least one of the values, returns, and risk characteristics of the model portfolio and the financial instrument over some period of time, and publishing, by a computer, the results of the statistical comparison, wherein the model portfolio does not reveal at least one of the holdings of a reference asset for the financial instrument and changes in the holdings of said reference asset. |
