Style Analysis Based on a General State Space Model and Monte Carlo Filter
AbstractThis paper proposes a new approach to style analysis by utilizing a general state space model and Monte Carlo filter. In particular,We regard coefficients of style indices as state variables in the state space model and apply Monte Carlo filter as estimation method. Moreover, an empirical analysis using actual funds' data confirms the validity of our approach.
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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-337.
Length: 25 pages
Date of creation: Apr 2005
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-30 (All new papers)
- NEP-ECM-2005-04-30 (Econometrics)
- NEP-ETS-2005-04-30 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Louis K. C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 2002. "On Mutual Fund Investment Styles," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1407-1437.
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"Mutual fund styles,"
Journal of Financial Economics,
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- Akihiko Takahashi & Kyo Yamamoto, 2008. "Hedge Fund Replication ?Revised in November 2008, forthcoming in The Recent Trend of Hedge Fund Strategies)," CARF F-Series CARF-F-137, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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