Nijman, Theo; ter Horst, Jenke; de Roon, F.A. - Tilburg University, Center for Economic Research - 2000
In this paper we evaluate applications of (return based) style analysis.The portfolio and positivity constraints … imposed by style analysis are useful in constructing mimicking portfolios without short positions.Such mimicking portfolios … in the underlying factor model are positively weighted portfolios.Under these conditions style analysis may also be used …