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1、RobustestimationofstyleanalysiscoefficientsMicheleLaRoccaandDomenicoVistoccoAbstract.Styleanalysis,asoriginallyproposedbySharpe,isanassetclassfactormodelaimedatobtaininginformationontheinternalallocationofafinancialportfolioandatcomparingportfolioswithsimilarinvestmentst
2、rategies.Theclassicalapproachisbasedonaconstrainedlinearregressionmodelandthecoefficientsareusuallyestimatedexploitingaleastsquaresprocedure.Thissolutionclearlysuffersfromthepresenceofoutlyingobservations.Theaimofthepaperistoinvestigatetheuseofarobustestimatorforstyleco
3、efficientsbasedonconstrainedquantileregression.TheperformanceofthenovelprocedureisevaluatedbymeansofaMonteCarlostudywheredifferentsetsofoutliers(bothintheconstituentreturnsandintheportfolioreturns)havebeenconsidered.Keywords:styleanalysis,quantileregression,subsampling1
4、IntroductionStyleanalysis,aswidelydescribedbyHorstetal.[12],isapopularandimportanttoolinportfoliomanagement.Firstly,itcanbeusedtoestimatetherelevantfactorexposureofafinancialportfolio.Secondly,itcanbeavaluabletoolinperformancemeasurementsincethestyleportfoliocanbeusedas
5、abenchmarkinevaluatingtheportfolioperformance.Finally,itcanbeusedtogainhighlyaccuratefutureportfo-lioreturnpredictionssinceitiswellknownfromempiricalstudies[12]thatfactorexposuresseemtobemorerelevantthanactualportfolioholdings.Themethod,originallyproposedbySharpe[25],i
6、sareturn-basedanalysisaimedatdecomposingportfolioperformancewithrespecttothecontributionofdifferentconstituentscomposingtheportfolio.Eachsectorisrepresentedbyanindexwhosereturnsareavailable.Themodelregressesportfolioreturnsonconstituentreturnsinordertodecomposetheportf
7、olioperformancewithrespecttoeachconstituent.Indeed,intheframeworkofclassicalregression,theestimatedcoefficientsmeanthesensitivityofportfolioexpectedreturnstoconstituentreturns.Theclassicalapproachisbasedonalinearregressionmodel,estimatedbyusingleastsquares,butdifferentc
8、onstraintscanbeimposedonthecoefficients.M.Corazzaetal.(eds.),MathematicalandStatisticalMethodsforActuarialSciencesandF
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