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Return Based Style Analysis

Return Based Style Analysis is an optimization technique described by Richard Sharpe in a 1992 Financial Analysts Journal article. Essentially it computes the optimal portfolo of assets which will replicate a target return stream while holding the target portfolio alpha constant. We can constrast this with a least squares fit approach to the same problem, where the sum of squared residuals is minimized, leading to a alpha of 0.

This document describes the implementation of RBSA included in the akutan project.

 

 

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General Optimization

Portfolio Optimization

Random Matrix Theory

Return Based Style Analysis

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