Robust models for style analysis

Name: Robust models for style analysis
Brand: Edizioni Accademiche Italiane
SKU: 9783330782389
Price: 43.22 EUR
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An empirical application

Autor: Antonella Costanzo

Jazyk:

Väzba: Brožovaná

Vydavateľ: Edizioni Accademiche Italiane

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This study contributes to the literature on style analysis by extending the quantile-based style mod...

Informácie o knihe

Autor

Antonella Costanzo

Jazyk

Taliančina

Väzba

Kniha - Brožovaná

Vydalo

2017

Stránok

108

EAN

9783330782389

ISBN

3330782382

Enbook ID

16367627

Vydavateľ

Edizioni Accademiche Italiane

Hmotnosť

177

Rozmery

150 x 220 x 6

Kompletný popis

This study contributes to the literature on style analysis by extending the quantile-based style model proposed by Basset and Chen (2001) through the introduction of the operational limits the manager faces up in handling an investment portfolio. In this framework, a practical guidance concerning the implementation of the quantile-based style model, the efficient use the obtained results, the computational complexity due to the introduction in the model of linear inequality constraints is presented. Validation issues of the proposed model are also discussed and more flexible solution for inference purposes based on resampling schemes is suggested. The efficiency and the robustness of the proposed alternative approach is explored through a simulation study.

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Robust models for style analysis

An empirical application

Informácie o knihe

Kompletný popis

Mohlo by vás zaujímať

Zákazníci, ktorí si kúpili túto knihu, kúpili tiež