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Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models

In: Mathematical and Statistical Methods in Insurance and Finance

Author

Listed:
  • Laura Attardi

    (University of Naples)

  • Domenico Vistocco

    (University of Cassino)

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.

Suggested Citation

  • Laura Attardi & Domenico Vistocco, 2008. "Estimating Portfolio Conditional Returns Distribution Through Style Analysis Models," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 11-17, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-0704-8_2
    DOI: 10.1007/978-88-470-0704-8_2
    as

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