Copertina di Robust models for style analysis
Titolo del libro:

Robust models for style analysis

An empirical application

Edizioni Accademiche Italiane (26.04.2017 )

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ISBN-13:

978-3-330-78238-9

ISBN-10:
3330782382
EAN:
9783330782389
Lingua del libro:
Risvolto di copertina:
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.
Casa editrice:
Edizioni Accademiche Italiane
Sito Web:
https://www.edizioni-ai.com/
Da (autore):
Antonella Costanzo
Numero di pagine:
108
Pubblicato il:
26.04.2017
Giacenza di magazzino:
Disponibile
categoria:
Metodi della ricerca sociale empirica e quantitativa
Prezzo:
49,90 €
Parole chiave:
valutazione performance, style analysis, metodi statistici non parametrici, regressione quantile

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