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A Discrete-Time State Observer Approach to Discovering Portfolio Holdings

Abstract : This paper is devoted to the derivation of a new approach for discovering mutual fund holdings from returns only. The approach is based on the use of a discrete-time asymptotic observer with forgetting factor which allows to estimate on-line both the holdings and the holding changes in portfolios. A realistic example is also provided, which demonstrates the effectiveness of the proposed approach. To the best of our knowledge, such an approach has never been proposed before.
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https://hal.archives-ouvertes.fr/hal-01651627
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Submitted on : Wednesday, November 29, 2017 - 11:31:25 AM
Last modification on : Wednesday, November 3, 2021 - 5:11:32 AM

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Didier Georges, Isabelle Girerd-Potin. A Discrete-Time State Observer Approach to Discovering Portfolio Holdings. IFAC WC 2017 - 20th IFAC World Congress, Jul 2017, Toulouse, France. pp.946 - 951, ⟨10.1016/j.ifacol.2017.08.138⟩. ⟨hal-01651627⟩

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