Invention Grant
- Patent Title: Methods and apparatus for improving factor risk model responsiveness
- Patent Title (中): 改善因子风险模型反应的方法和装置
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Application No.: US13503698Application Date: 2011-05-19
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Publication No.: US08700516B2Publication Date: 2014-04-15
- Inventor: Simon Wannasin Bell , Frank Pak-Ho Siu
- Applicant: Simon Wannasin Bell , Frank Pak-Ho Siu
- Applicant Address: US NY New York
- Assignee: Axioma, Inc.
- Current Assignee: Axioma, Inc.
- Current Assignee Address: US NY New York
- Agency: Law Offices of Peter H. Priest, PLLC
- International Application: PCT/US2011/037231 WO 20110519
- International Announcement: WO2012/102749 WO 20120802
- Main IPC: G06Q40/06
- IPC: G06Q40/06 ; G06Q40/00 ; G06Q40/04 ; G06Q40/08
Abstract:
Construction of factor risk models that better predict the future volatility of returns of a portfolio of securities such as stocks, bonds, or the like is addressed. More specifically, improved factor-factor covariance estimation is made even when the covariances change rapidly over time. Methods and techniques for achieving better accuracy, responsiveness, and stability of factor risk models are addressed.
Public/Granted literature
- US20130297530A1 Methods and Apparatus for Improving Factor Risk Model Responsiveness Public/Granted day:2013-11-07
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