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《robust estimation of style analysis coefficients》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在工程資料-天天文庫。
1、Robustestimationofstyleanalysiscoef?cientsMicheleLaRoccaandDomenicoVistoccoAbstract.Styleanalysis,asoriginallyproposedbySharpe,isanassetclassfactormodelaimedatobtaininginformationontheinternalallocationofa?nancialportfolioandatcomparingportfolioswithsimilarinvestmentst
2、rategies.Theclassicalapproachisbasedonaconstrainedlinearregressionmodelandthecoef?cientsareusuallyestimatedexploitingaleastsquaresprocedure.Thissolutionclearlysuffersfromthepresenceofoutlyingobservations.Theaimofthepaperistoinvestigatetheuseofarobustestimatorforstyleco
3、ef?cientsbasedonconstrainedquantileregression.TheperformanceofthenovelprocedureisevaluatedbymeansofaMonteCarlostudywheredifferentsetsofoutliers(bothintheconstituentreturnsandintheportfolioreturns)havebeenconsidered.Keywords:styleanalysis,quantileregression,subsampling1
4、IntroductionStyleanalysis,aswidelydescribedbyHorstetal.[12],isapopularandimportanttoolinportfoliomanagement.Firstly,itcanbeusedtoestimatetherelevantfactorexposureofa?nancialportfolio.Secondly,itcanbeavaluabletoolinperformancemeasurementsincethestyleportfoliocanbeusedas
5、abenchmarkinevaluatingtheportfolioperformance.Finally,itcanbeusedtogainhighlyaccuratefutureportfo-lioreturnpredictionssinceitiswellknownfromempiricalstudies[12]thatfactorexposuresseemtobemorerelevantthanactualportfolioholdings.Themethod,originallyproposedbySharpe[25],i
6、sareturn-basedanalysisaimedatdecomposingportfolioperformancewithrespecttothecontributionofdifferentconstituentscomposingtheportfolio.Eachsectorisrepresentedbyanindexwhosereturnsareavailable.Themodelregressesportfolioreturnsonconstituentreturnsinordertodecomposetheportf
7、olioperformancewithrespecttoeachconstituent.Indeed,intheframeworkofclassicalregression,theestimatedcoef?cientsmeanthesensitivityofportfolioexpectedreturnstoconstituentreturns.Theclassicalapproachisbasedonalinearregressionmodel,estimatedbyusingleastsquares,butdifferentc
8、onstraintscanbeimposedonthecoef?cients.M.Corazzaetal.(eds.),MathematicalandStatisticalMethodsforActuarialSciencesandF
