State Space Models for Dynamic Style Analysis of Portfolios

Adrian Pizzinga and Cristiano Fernandes

Brazilian Review of Econometrics, 2006, vol. 26, issue 1

Abstract: 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.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://periodicos.fgv.br/bre/article/view/2497 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:26:y:2006:i:1:a:2497

Access Statistics for this article

Brazilian Review of Econometrics is currently edited by Daniel Monte

More articles in Brazilian Review of Econometrics from Sociedade Brasileira de Econometria - SBE Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().