A method to select features for maximum entropy modeling in which the gains for all candidate features are determined during an initialization stage and gains for only top-ranked features are determined during each feature selection stage. The candidate features are ranked in an ordered list based on the determined gains, a top-ranked feature in the ordered list with a highest gain is selected, and the model is adjusted using the selected top-ranked feature.

 
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> Method and apparatus for creating consistent risk forecasts and for aggregating factor models

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