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State Space Models for Dynamic Style Analysis of Portfolios

Brazilian Review of Econometrics

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Title State Space Models for Dynamic Style Analysis of Portfolios
State Space Models for Dynamic Style Analysis of Portfolios
 
Creator Pizzinga, Adrian
Fernandes, Cristiano
 
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.
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.
 
Publisher Sociedade Brasileira de Econometria
 
Date 2006-05-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
 
Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2497
10.12660/bre.v26n12006.2497
 
Source Brazilian Review of Econometrics; Vol. 26 No. 1 (2006); 31-66
Brazilian Review of Econometrics; v. 26 n. 1 (2006); 31-66
1980-2447
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2497/1480