Patent ID: 8600860

Claim:
A method for determining at least one factor exposure of an asset collection for each of a plurality of time intervals in a period of time, the asset collection including at least one asset, comprising: for each of a plurality of time intervals, determining an objective function which includes an estimation error term or at least one transition error term, the estimation error term representing an estimation error at each time interval between a performance of the asset collection and a sum of products of each of the at least one factor exposure and its respective factor, the at least one transition error term representing a transition error at each time interval after a first time interval for each of the at least one factor exposure between the time interval and a prior time interval; and for each of the plurality of time intervals, determining the at least one factor exposure by optimizing a value of the objective function, wherein each step of determining the objective function and the step of determining the least one factor exposure is performed using at least one processor.