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A Discrete-Time State Observer Approach to Discovering Portfolio Holdings

Author

Listed:
  • Didier Georges

    (GIPSA-SYSCO - GIPSA - Systèmes non linéaires et complexité - GIPSA-DA - Département Automatique - GIPSA-lab - Grenoble Images Parole Signal Automatique - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - INPG - Institut National Polytechnique de Grenoble - CNRS - Centre National de la Recherche Scientifique - UGA [2016-2019] - Université Grenoble Alpes [2016-2019])

  • Isabelle Girerd-Potin

    (CERAG - Centre d'études et de recherches appliquées à la gestion - UGA [2016-2019] - Université Grenoble Alpes [2016-2019])

Abstract

This paper is devoted to the derivation of a new approach for discovering mutual fund holdings from returns only. The approach is based on the use of a discrete-time asymptotic observer with forgetting factor which allows to estimate on-line both the holdings and the holding changes in portfolios. A realistic example is also provided, which demonstrates the effectiveness of the proposed approach. To the best of our knowledge, such an approach has never been proposed before.

Suggested Citation

  • Didier Georges & Isabelle Girerd-Potin, 2017. "A Discrete-Time State Observer Approach to Discovering Portfolio Holdings," Post-Print hal-01651627, HAL.
    • Handle: RePEc:hal:journl:hal-01651627
    DOI: 10.1016/j.ifacol.2017.08.138
    Note: View the original document on HAL open archive server: https://hal.science/hal-01651627
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    References listed on IDEAS

    as
    1. Ortiz, Cristina & Sarto, José Luis & Vicente, Luis, 2012. "Portfolios in disguise? Window dressing in bond fund holdings," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 418-427.
    2. Marcin Kacperczyk & Clemens Sialm & Lu Zheng, 2008. "Unobserved Actions of Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2379-2416, November.
    3. Vikas Agarwal & Wei Jiang & Yuehua Tang & Baozhong Yang, 2013. "Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide," Journal of Finance, American Finance Association, vol. 68(2), pages 739-783, April.
    4. Aragon, George O. & Hertzel, Michael & Shi, Zhen, 2013. "Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(5), pages 1499-1518, October.
    5. Vikas Agarwal & Kevin A. Mullally & Yuehua Tang & Baozhong Yang, 2015. "Mandatory Portfolio Disclosure, Stock Liquidity, and Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 70(6), pages 2733-2776, December.
    6. Matthew R. Morey & Edward S. O'Neal, 2006. "Window Dressing In Bond Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(3), pages 325-347, September.
    Full references (including those not matched with items on IDEAS)

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