Return-based classification identifies a portfolio’s style signature in the time series of its returns. Detection is based on a regression of portfolio returns on returns of factor mimicking indices. The method is easy to apply and does not require information...
CITATION STYLE
Bassett, G. W., & Chen, H.-L. (2002). Portfolio style: Return-based attribution using quantile regression. In Economic Applications of Quantile Regression (pp. 293–305). Physica-Verlag HD. https://doi.org/10.1007/978-3-662-11592-3_15
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