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

Título:

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

Autor:

Luciano Vereda Oliveira

Ano:

2008

DOI:

10.1002/asmb.688

Revista:

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY

ISSN:

15241904

Tags:

Acompanhamento de decisões de investimento

Análise de estilo

Filtro de Kalman

Restrições de portfolio

Idioma:

Inglês

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