Title:
FACTOR RETURN VARIANCE-COVARIANCE MATRIX PREDICTION SYSTEM
Document Type and Number:
WIPO Patent Application WO/2020/202294
Kind Code:
A1
Abstract:
[Problem] To propose a factor return variance-covariance matrix prediction system based on an innovative model for more accurately estimating a factor return variance-covariance matrix between factors. [Solution] The present invention predicts a future variance-covariance matrix by: calculating actual performance factor return variance-covariance matrices, tabulated according to various tabulation patterns; calculating a degree of correlation between each actual performance factor return variance-covariance matrix and a future factor return variance-covariance matrix; and using the degree of correlation to weight the actual performance factor return variance-covariance matrix of each tabulation pattern and combine the weighted matrices.
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Inventors:
KEIICHI HAKODA (JP)
Application Number:
PCT/JP2019/014128
Publication Date:
October 08, 2020
Filing Date:
March 29, 2019
Export Citation:
Assignee:
FINANCIAL DATA SOLUTIONS INC (JP)
International Classes:
G06Q40/06
Foreign References:
| JP2017021448A | 2017-01-26 | |||
| JP2005148806A | 2005-06-09 | |||
| JP2002149964A | 2002-05-24 |
Attorney, Agent or Firm:
Ichiro KUDO (JP)
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