Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds (Q3607873)
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scientific article; zbMATH DE number 5520399
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| English | Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds |
scientific article; zbMATH DE number 5520399 |
Statements
Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds (English)
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28 February 2009
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investment decision tracking
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Jensen's alpha
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Kalman filtering
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portfolio restrictions
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style analysis
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0.7610739469528198
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0.7017678022384644
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0.7001518607139587
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0.6982567310333252
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0.6919280290603638
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