The aim of this paper is to study the cross-sectional eects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the predictive ability of each cross-sectional factor is described by a variable. Practically, this modeling permits us to measure the marginal and joint eects of different cross-section factors on a given dynamic portfolio. Associated to a regime switching model, we are able to identify phases during which the cross-sectional eects are present in the market.

Cross-Sectional Analysis through Rank-based Dynamic Portfolios

BILLIO, Monica;
2012

Abstract

The aim of this paper is to study the cross-sectional eects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the predictive ability of each cross-sectional factor is described by a variable. Practically, this modeling permits us to measure the marginal and joint eects of different cross-section factors on a given dynamic portfolio. Associated to a regime switching model, we are able to identify phases during which the cross-sectional eects are present in the market.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10278/39063
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