Semi‐strong dynamic style analysis with time‐varying selectivity measurement: Applications to Brazilian exchange‐rate funds |
| |
| Authors: | Adrian Pizzinga Luciano Vereda Rodrigo Atherino Cristiano Fernandes |
| |
| Institution: | 1. Department of Electrical Engineering of Catholic University of Rio de Janeiro, Rio de Janeiro, Brazil;2. Doctorate Student.;3. Financial and Actuarial Risk Management Institute of Catholic University of Rio de Janeiro (IAPUC), Rio de Janeiro, Brazil;4. Assistant Professor. |
| |
| Abstract: | This paper deals with restricted linear state space models for dynamic style analysis with time‐varying selectivity measurement. Implementation and interpretation of the models are pertinently discussed. Empirical contributions lie on the understanding of how managers of Brazilian US Dollar/Real exchange‐rate funds behaved along 2001 and 2002, a period of some political turbulence especially due to the 2002 Brazilian presidential election. Copyright © 2007 John Wiley & Sons, Ltd. |
| |
| Keywords: | investment decisions tracking Jensen's alpha Kalman filtering portfolio restriction style analysis |
|
