A Discrete-Time State Observer Approach to Discovering Portfolio Holdings

Didier Georges () and Isabelle Girerd-Potin ()
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Didier Georges: GIPSA-SYSCO - GIPSA - Systèmes non linéaires et complexité - GIPSA-DA - Département Automatique - GIPSA-lab - Grenoble Images Parole Signal Automatique - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - INPG - Institut National Polytechnique de Grenoble - CNRS - Centre National de la Recherche Scientifique - UGA [2016-2019] - Université Grenoble Alpes [2016-2019]
Isabelle Girerd-Potin: CERAG - Centre d'études et de recherches appliquées à la gestion - UGA [2016-2019] - Université Grenoble Alpes [2016-2019]

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Abstract: This paper is devoted to the derivation of a new approach for discovering mutual fund holdings from returns only. The approach is based on the use of a discrete-time asymptotic observer with forgetting factor which allows to estimate on-line both the holdings and the holding changes in portfolios. A realistic example is also provided, which demonstrates the effectiveness of the proposed approach. To the best of our knowledge, such an approach has never been proposed before.

Keywords: Social Systems; Discrete-Time State Observers; Finance; Portfolio Holding Estimation (search for similar items in EconPapers)
Date: 2017-07-09
Note: View the original document on HAL open archive server: https://hal.science/hal-01651627v1
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Published in IFAC WC 2017 - 20th IFAC World Congress, Jul 2017, Toulouse, France. pp.946 - 951, ⟨10.1016/j.ifacol.2017.08.138⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01651627

DOI: 10.1016/j.ifacol.2017.08.138

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