Style analysis models aim to decompose the performance of a financial portfolio with respect to a set known indexes. Quantile regression offers a different point of view on the style analysis problem as it allows the extraction of information at different parts of the portfolio returns distribution. Moreover, the quantile regression results are useful in order to estimate the portfolio conditional returns distribution. © Springer 2008, Milan.
Estimating portfolio conditional returns distribution through style analysis models / Attardi, L; Vistocco, D. - (2008), pp. 11-17. (Intervento presentato al convegno 2nd Conference on Mathematical and Statistical Methods in Insurance and Finance, MAF 2006 tenutosi a Salerno, ita nel 2006) [10.1007/978-88-470-0704-8_2].
Estimating portfolio conditional returns distribution through style analysis models
VISTOCCO D
2008
Abstract
Style analysis models aim to decompose the performance of a financial portfolio with respect to a set known indexes. Quantile regression offers a different point of view on the style analysis problem as it allows the extraction of information at different parts of the portfolio returns distribution. Moreover, the quantile regression results are useful in order to estimate the portfolio conditional returns distribution. © Springer 2008, Milan.| File | Dimensione | Formato | |
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