State Space Models for Dynamic Style Analysis of Portfolios
State Space Models for Dynamic Style Analysis of Portfolios
| dc.creator | Pizzinga, Adrian | |
| dc.creator | Fernandes, Cristiano | |
| dc.date | 2006-05-01 | |
| dc.date.accessioned | 2022-11-03T21:17:54Z | |
| dc.date.available | 2022-11-03T21:17:54Z | |
| dc.identifier | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2497 | |
| dc.identifier.uri | https://repositorioslatinoamericanos.uchile.cl/handle/2250/5047719 | |
| dc.description | This paper presents a framework and methods for the estimation of linear and non-linear state space (SS) models, occasionally subject to restrictions, to construct and estimate several models for style analysis with time varying exposures. The study is conducted by applying these models to an artificial portfolio and to return series of Brazilian investment funds. The results confirm the belief that dynamic allocations in a portfolio are a more realistic assumption for investment funds management. | en-US |
| dc.description | This paper presents a framework and methods for the estimation of linear and non-linear state space (SS) models, occasionally subject to restrictions, to construct and estimate several models for style analysis with time varying exposures. The study is conducted by applying these models to an artificial portfolio and to return series of Brazilian investment funds. The results confirm the belief that dynamic allocations in a portfolio are a more realistic assumption for investment funds management. | pt-BR |
| dc.format | application/pdf | |
| dc.language | eng | |
| dc.publisher | Sociedade Brasileira de Econometria | en-US |
| dc.relation | https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2497/1480 | |
| dc.source | Brazilian Review of Econometrics; Vol. 26 No. 1 (2006); 31-66 | en-US |
| dc.source | Brazilian Review of Econometrics; v. 26 n. 1 (2006); 31-66 | pt-BR |
| dc.source | 1980-2447 | |
| dc.title | State Space Models for Dynamic Style Analysis of Portfolios | en-US |
| dc.title | State Space Models for Dynamic Style Analysis of Portfolios | pt-BR |
| dc.type | info:eu-repo/semantics/article | |
| dc.type | info:eu-repo/semantics/publishedVersion |