Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds

DOI10.1002/ASMB.688MaRDI QIDQ3607873zbMATH OpenOpenAlexFDO

Authors Adrian Pizzinga, Luciano Vereda, Rodrigo Atherino, Cristiano Fernandes

Publication date 28 February 2009

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.688

zbMATH Keywords

Kalman filteringstyle analysisinvestment decision trackingJensen's alphaportfolio restrictions

Mathematics Subject Classification ID

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(3)

• Further investigation into restricted Kalman filtering
• Constrained Kalman filtering: additional results
• Restricted Kalman filter applied to dynamic style analysis of actuarial funds

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