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

DOI10.1002/ASMB.688zbMATH Open1164.91019OpenAlexW4243287827MaRDI QIDQ3607873FDOQ3607873

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

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zbMATH Keywords

Kalman filteringstyle analysisinvestment decision trackingJensen's alphaportfolio restrictions

Mathematics Subject Classification ID

Cited In (3)

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

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