A method and system to solve dynamic multi-factor models in finance
CA 2484649 A1 · Owner: Markov, Michael · Inventors: Muchnik, Ilya; Markov, Michael; Mottl, Vadim
Overview
Its claims, description and drawings are in the Canadian Patents Database.
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Methods and systems for estimating time-varying factor exposures of either an individual financial instrument or a portfolio of such instruments through , the solution of a constrained multi-criteria dynamic optimization problem providing an estimation error function and one or more transition error functions to be minimized over a period of time. The factor exposures relay the influence of the factors on the return of the instrument or portfolio. The estimation error function provides the estimation error at each time interval between the return of the asset collection and a sum of products of each factor exposure and its respective factor. Each transition error function provides a …
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Listed from its CIPO record in Patent Yard's archive of Canadian patents past their term. Its claims, description and drawings are in the CIPO record and on Google Patents, and the Claude kit works from them.
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- Filed May 7, 2003. No grant is recorded for it in Canada; had it been granted, its 20-year term would have ended May 7, 2023.
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