Roon, F.A. de; Nijman, T.E.; Werker, B.J.M. - Erasmus Research Institute of Management (ERIM), 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 can be used e.g. to construct efficient portfolios of...