Restricted Kalman filter applied to dynamic style analysis of actuarial funds

DOI10.1002/asmb.931zbMath1286.91070OpenAlexW2159994745MaRDI QIDQ5414521

Reinaldo Marques, Luciano Vereda, Adrian Pizzinga

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.931

zbMATH Keywords

Kalman filterstate space modelsinsurance companiesactuarial fundsdynamic style analysisexact initialization

Mathematics Subject Classification ID

Related Items (1)

A pairs trading strategy based on linear state space models and the Kalman filter

Cites Work

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• Introduction to Time Series and Forecasting

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