de Roon, de Roon, F.A.; Nijman, Nijman, T.E.; Werker, B.J.M. - Erasmus Research Institute of Management (ERIM), … - 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 … the underlying factor model are positively weighted portfolios. Under these conditions style analysis may also be used to …