发明名称 |
Methods and apparatus for improving factor risk model responsiveness |
摘要 |
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. |
申请公布号 |
US8700516(B2) |
申请公布日期 |
2014.04.15 |
申请号 |
US201113503698 |
申请日期 |
2011.05.19 |
申请人 |
BELL SIMON WANNASIN;SIU FRANK PAK-HO;AXIOMA, INC. |
发明人 |
BELL SIMON WANNASIN;SIU FRANK PAK-HO |
分类号 |
G06Q40/06;G06Q40/00;G06Q40/04;G06Q40/08 |
主分类号 |
G06Q40/06 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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