Bramante, Riccardo; Gabbi, Giampaolo - In: Managerial Finance 32 (2006) 4, pp. 337-346
Purpose – The paper is aimed at modelling time varying betas via a state space representation in order to decompose the marginal contribution to risk of downside and upside deviations of asset returns in portfolio optimisation. Design/methodology/approach – The approach enables to take into...
