Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models

Laura Attardi () and Domenico Vistocco
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Laura Attardi: University of Naples

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 11-17 from Springer

Abstract: 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.

Keywords: Style analysis; Quantile regression; Portfolio conditional returns distribution (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_2

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DOI: 10.1007/978-88-470-0704-8_2

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