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.
All computation and graphics were done in the R language (www.r-project.org) [R07] using the basic packages and the additional mgcv [WOO06] and quantreg packages [KOE07].
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© 2008 Springer, Milan
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Attardi, L., Vistocco, D. (2008). Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods in Insurance and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-0704-8_2
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DOI: https://doi.org/10.1007/978-88-470-0704-8_2
Publisher Name: Springer, Milano
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